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...

Full description

Bibliographic Details
Main Authors:	Yu-Chih Ko, 柯羽芝
Other Authors:	Ming-Chang Chen
Format:	Others
Language:	en_US
Published:	2008
Online Access:	http://ndltd.ncl.edu.tw/handle/62736693167223144098

id	ndltd-TW-096CCU05121057
record_format	oai_dc
spelling	ndltd-TW-096CCU051210572015-11-25T04:04:40Z http://ndltd.ncl.edu.tw/handle/62736693167223144098 Volatility Comparisonsin Historical Volatility,GARC Hand GJRGARCH Models with their Applications of Taiwan Equity Options 歷史波動性、GARCH 與GJR GARCH 模型之波動性比較─台灣股票選擇權之應用 Yu-Chih Ko 柯羽芝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. Ming-Chang Chen 鎮明常 2008 學位論文 ; thesis 36 en_US
collection	NDLTD
language	en_US
format	Others
sources	NDLTD
description	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.
author2	Ming-Chang Chen
author_facet	Ming-Chang Chen Yu-Chih Ko 柯羽芝
author	Yu-Chih Ko 柯羽芝
spellingShingle	Yu-Chih Ko 柯羽芝 Volatility Comparisonsin Historical Volatility,GARC Hand GJRGARCH Models with their Applications of Taiwan Equity Options
author_sort	Yu-Chih Ko
title	Volatility Comparisonsin Historical Volatility,GARC Hand GJRGARCH Models with their Applications of Taiwan Equity Options
title_short	Volatility Comparisonsin Historical Volatility,GARC Hand GJRGARCH Models with their Applications of Taiwan Equity Options
title_full	Volatility Comparisonsin Historical Volatility,GARC Hand GJRGARCH Models with their Applications of Taiwan Equity Options
title_fullStr	Volatility Comparisonsin Historical Volatility,GARC Hand GJRGARCH Models with their Applications of Taiwan Equity Options
title_full_unstemmed	Volatility Comparisonsin Historical Volatility,GARC Hand GJRGARCH Models with their Applications of Taiwan Equity Options
title_sort	volatility comparisonsin historical volatility,garc hand gjrgarch models with their applications of taiwan equity options
publishDate	2008
url	http://ndltd.ncl.edu.tw/handle/62736693167223144098
work_keys_str_mv	AT yuchihko volatilitycomparisonsinhistoricalvolatilitygarchandgjrgarchmodelswiththeirapplicationsoftaiwanequityoptions AT kēyǔzhī volatilitycomparisonsinhistoricalvolatilitygarchandgjrgarchmodelswiththeirapplicationsoftaiwanequityoptions AT yuchihko lìshǐbōdòngxìnggarchyǔgjrgarchmóxíngzhībōdòngxìngbǐjiàotáiwāngǔpiàoxuǎnzéquánzhīyīngyòng AT kēyǔzhī lìshǐbōdòngxìnggarchyǔgjrgarchmóxíngzhībōdòngxìngbǐjiàotáiwāngǔpiàoxuǎnzéquánzhīyīngyòng
_version_	1718135563651907584

Volatility Comparisonsin Historical Volatility,GARC Hand GJRGARCH Models with their Applications of Taiwan Equity Options

Similar Items