Comparative Forecasting Volatility Performance of GARCH Family Models and Neural Networks
碩士 === 淡江大學 === 財務金融學系碩士班 === 97 === We compare the predictive performance of various GARCH family models and Neural Networks. The models are compared out-of-sample using Taiwan Stock Exchange Capitalization Weighted Stock Index（TAIEX）data. We substitute the Realized Range-Based Volatility for the l...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/89161023232966795225 |