Forecasting Performance of GARCH Models on Volatility of Taiwan Stock Index Futures：The Information Contents of Volume, Maturity and VIX
碩士 === 國立臺北大學 === 合作經濟學系 === 95 === The purpose of the study is to provide the volatility forecasting performance of Taiwan stock index futures. In order to achieve the purpose of this study, it applies GARCH model, GARCH-M model, EGARCH model, GJR-GARCH model to proceed this purpose. It also employ...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/20924395083795798945 |