The Structural Changes in Stock Returns
碩士 === 雲林科技大學 === 財務金融系碩士班 === 98 === Literatures point out that GARCH models can capture volatility clustering, and the conditional variance of stock returns is time-varying. Without considering structural changes in the model, it yield a high measure of persistence (close to an I-GARCH process). I...
| 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/49623867370505252640 |