Estimation and Comparison for Stock Index Volatility with Various Dynamic Volatility Models

碩士 === 國立高雄第一科技大學 === 財務管理所 === 98 === By using S&P 500, NASDAQ and DJIA stock index, in this paper we examine the relationships among realized return, realized range and implied volatility, finding that the realized range and implied volatility are possessed of excellent explanation power towar...

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Bibliographic Details
Main Authors: Kuan-Yi Wu, 吳冠億
Other Authors: Chun-Chou Wu
Format: Others
Language:zh-TW
Published: 2010
Online Access:http://ndltd.ncl.edu.tw/handle/23303657722225821469