Volatility Comparisonsin Historical Volatility,GARC Hand GJRGARCH Models with their Applications of Taiwan Equity Options
碩士 === 國立中正大學 === 企業管理所 === 96 === This study compares historical volatility, GARCH (1, 1) and GJR GARCH models by using Taiwan equity options from August 1, 2004 to 31 December, 2006. In deep-out-of-the-money options in-sample fit favors the historical volatility model. However, in deep-in-the-mone...
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| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/62736693167223144098 |
| Summary: | 碩士 === 國立中正大學 === 企業管理所 === 96 === This study compares historical volatility, GARCH (1, 1) and GJR GARCH models by using Taiwan equity options from August 1, 2004 to 31 December, 2006. In deep-out-of-the-money options in-sample fit favors the historical volatility model. However, in deep-in-the-money options, the sample favors either GARCH (1, 1) or GJR GARCH models. As for assessing the performance of the GARCH models out-of-sample, GARCH (1, 1) has better forecasting ability than the GJR GARCH model.
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