Quantitative Easing on Asymmetric GARCH Value at Risk of NTD/USD
碩士 === 國立臺灣大學 === 財務金融學研究所 === 102 === The ultimate goal of this research is to find out which model fits the NTD/USD continuous rate of return in the U.S. QE period data best. Symmetric GARCHM and two asymmetric GARCHM models are utilized: one is GJR-GARCHM (for rotation) and the other is NA-GARCHM...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/66855688281567616115 |