Comparison the forecasting of Range-based and Return-based GARCH model -Cases of TAIEX index
碩士 === 國立嘉義大學 === 應用經濟學系研究所 === 100 === In recent decades, many studies have focused on the forecasting of volatility. The GARCH model provides the heteroskedasticity of the asset returns. But estimating the volatility can be difficult, because volatility is not observable. Chou(2005) proposed CARR...
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| Format: | Others |
| Language: | zh-TW |
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2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/56541140040117480743 |