Using VIX Index and Range-based Volatility to enhance the Volatility Forecasting Performance of GARCH Models
碩士 === 德明財經科技大學 === 服務業經營管理研究所 === 97 === This research data was based on the S&P500 index from the period January 2nd 2001 till December 31st 2007, and the prediction period was from December 21st 2003 to December 31st 2007, totally 508 observations. By using the VIX index and range-based volat...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/00551982882809532660 |