A Study on VaR-The Case of Taiwanese Eight Major Stock Industries
碩士 === 國立雲林科技大學 === 財務金融系 === 104 === The purpose of this study is to evaluate three models, which are GARCH model, TGARCH model, and EGARCH model, for measuring VaR precision. The data of Taiwan eight major industries stock market indexes was collected and the sampling period is from January 2, 201...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/gq3vam |