ANN-GJR-GARCH Model Applied in the Evaluation of High Frequency Taiwan Index Future Intra-day Data
碩士 === 真理大學 === 財經研究所 === 92 === The paper used per 10 secs Taiwan stock index futures intra-day high frequency data and tried to apply three variation GARCH-type volatility models,named GARCH,GJR-GARCH,ANN-GJR-GARCH VaR models. In The last,we used mean、percentage volatility、mean distance of VaR，R...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/42378670793040735641 |