Estimation of Stock Volatility Using Different Sample Frequency
碩士 === 國立臺灣大學 === 農業經濟學研究所 === 97 === Abstract The paper evaluates the performance of conditional variance models using high-frequency data of the TAIEX and attempts to determine the optimal sampling frequency for the best daily volatility forecast. In this paper, we use GARCH, T-GARCH and E-GAR...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/23223206593063745695 |