Volatility Asymmetries in Taiwan Future Market
碩士 === 明道大學 === 企業高階管理碩士班 === 100 === This paper aims to apply threshold GARCH model to investigate the behavior of the asymmetric volatility in the Taiwan stock index futures market. The daily data of the stock index futures in Taiwan market from 2007 to 2011 is collected for analysis. Volatility i...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/12634097337885833938 |