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...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/23303657722225821469 |