A Comparison of the Forecasting Performance between GARCH family Models and VIX on TAIEX Options
碩士 === 淡江大學 === 財務金融學系碩士班 === 94 === Volatility forecasting is very important to derivative pricing, hedging, and risk management. This paper using GARCH, GJR-GARCH models and the VIX index of TAIEX Options to compare their forecasting ability. The empirical evidence show that using daily data t...
| 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/47256603882931318283 |