The Application of Multi-factor Volatility Model with Threshold on the Forecast of Future Volatility of Heng-Sheng Index
碩士 === 銘傳大學 === 財務金融學系碩士班 === 95 === The forecast of volatility play an important role in the asset allocation, hedge, risk management and derivative pricing. Generally speaking, the models for volatility forecast can be divided by four parts, history volatility, GARCH, implied volatility and stocha...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/vh2qf2 |