Volatility Effect of The Introduction of Taiwan Stock Index Options on The Taiwan Stock Index Futures and Spot Market
碩士 === 國立高雄第一科技大學 === 金融營運所 === 92 === This study is to evaluate impact upon the structure of the conditional volatility for Taiwan stock index futures and spot market when Taiwan stock index options was introduced. The study was an application of Volatility-Switching GARCH Model of Fornari and Mele...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/72306227164636658882 |