Analyzing the volatility of crude oil price by regime switching GARCH
碩士 === 銘傳大學 === 財務金融學系碩士班 === 98 === In this paper we compare a set of different standard GARCH models with a group of Markov Regime-switch GARCH in terms of their ability of analysis the future price of crude oil. In this paper we adopted three difference prices. We adopted daily, weekly and monthl...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/21236871814682906446 |