The Investigation on The Volatility of Stock Returns in Taiwan Stock Market
碩士 === 淡江大學 === 財務金融學系碩士班 === 95 === In this study, we estimate the volatility of return by GARCH(1,1). We use the ratio of the volatility of each stock return to TAIEX proxy for aggregate volatility risk, and we add Fama & French three-factor model as the fourth risk factor-ratio. Here we are g...
| 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/71689278188041875911 |