Building an ARMA-TGARCH Model
碩士 === 國立交通大學 === 經營管理研究所 === 90 === The purpose of an ARMA-TGARCH model is to modify GARCH models assume that only the size and not the positivity or negativity of unanticipated excess returns volatility determines features . In this paper, we use the previous shock of lag-1 act as threshold varia...
Main Authors: | , |
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Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2002
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Online Access: | http://ndltd.ncl.edu.tw/handle/89271605483628624953 |