Markov Regime-Switching Asymmetric GARCH model and Evaluation of TXO
碩士 === 長庚大學 === 企業管理研究所 === 97 === In this paper we compare the classic Generalized Autoregressive Conditional Heteroscedasticity models with the ones linked Markov Regime switching model together in terms of their goodness of fit of TAIEX and forecastability of price of TXO by B-S model. Not only n...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Published: |
2008
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/00878642324285446502 |