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...
Main Authors: | Ching-Hsin Sung, 宋謹行 |
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Other Authors: | Chien-Liang Chiu |
Format: | Others |
Language: | zh-TW |
Published: |
2009
|
Online Access: | http://ndltd.ncl.edu.tw/handle/89161023232966795225 |
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