Investigate on the Taiwan stock Market Volatility

• Main Authors: Chien-Kuo Kao, 高建國
• Other Authors: Torng-Her Lee
• Format: Others
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/b49d3g

碩士 === 國立東華大學 === 管理學院高階經營管理碩士在職專班 === 101 === This paper aims to achieve the R software volatility of individual stocks in Taiwan 50 Discussion and research, the use of empirical data rugarch package of outputs to ugarchspec GARCH model specification function definition to explain the appropriateness ugachfit function, parameter uncertainty by ugarchdistribution function analysis, and ugarchforecast function supplemented ugarchroll backtesting, with R provides a powerful graphical interface for time-series data judged to understand the trend of the past history and future forecast results.