Finding reasonable variables to help forecast stock market volatility
碩士 === 國立暨南國際大學 === 國際企業學系 === 100 === This paper aims to examine if incorporating exogenous macro variables can help forecast stock market volatility via GARCH-class models, and if some popular variables can improve the forecasting performances. We utilize various GARCH models, including asymmetric...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/53483498095576946801 |