Parameters Estimation of the GARCH Model
碩士 === 國立臺灣大學 === 資訊工程學研究所 === 94 === GARCH is one of the most popular stochastic variance models. The model successfully captures the serial correlation of asset return volatilities. The model needs five parameters, and some of them do not have intuitively economic meanings. So how to determine the...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18380617510469402997 |