Hedge Ratios and Hedging Effectivenesss of Multivariante GARCH Model- Evidence from Taiwan Futures Market
碩士 === 東吳大學 === 企業管理學系 === 97 === This study using TAIFEX Taiwan stock index futures as a hedging objective trying to eliminate the risk of Taiwan stock index. As the finacial asset is found with ARCH effect in academic research, so that the GARCH model is expected to obtain more effective hedge pe...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/03341698904880789632 |