Combined Option to Improve the Parameter Estimation of IGARCH

• Main Authors: Chung-han Lu, 呂宗翰
• Other Authors: Cheng-der Fuh
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/wk6kb5

碩士 === 國立中央大學 === 統計研究所 === 97 === In the financial time series data analysis, many models such as the ARIMA models, the GARCH model and Bollerslev (1986) who proposed IGARCH model, etc. are commonly used. In practice, there are a number of unknown parameters needed to be estimated. This article will use the information on the Walt Disney Company, for IGARCH mode, try to use the stock as well as the option price information provided to find out more quickly and accurate method to estimate parameters. Use only the stock or option information can not get better results. Finally, we found the combination of stock and option price information, can indeed be more accurate parameter estimation.