Using VIX Index and Range-based Volatility to enhance the Volatility Forecasting Performance of GARCH Models
碩士 === 德明財經科技大學 === 服務業經營管理研究所 === 97 === This research data was based on the S&P500 index from the period January 2nd 2001 till December 31st 2007, and the prediction period was from December 21st 2003 to December 31st 2007, totally 508 observations. By using the VIX index and range-based volat...
Main Authors: | Chen Hsin-Hua, 陳信華 |
---|---|
Other Authors: | Ni Ren-Xi |
Format: | Others |
Language: | zh-TW |
Published: |
2009
|
Online Access: | http://ndltd.ncl.edu.tw/handle/00551982882809532660 |
Similar Items
-
Forecasting Performance of GARCH Models on Volatility of Taiwan Stock Index Futures:The Information Contents of Volume, Maturity and VIX
by: HUNG,YU-AN, et al.
Published: (2007) -
The VIX Volatility Index
by: Xin, Mao
Published: (2011) -
Volatility Forecasting Performance of Range-based Volatility and GARCH Model-An Empirical Analysis of Taiwan Stock Index
by: Jui-Chieh Chang, et al.
Published: (2009) -
Can VIX forecast the volatility of TAIEX?
by: Chang-Yu Chen, et al.
Published: (2010) -
The S&;P 500 Index Realized Volatility and VIX Forecasting - The Information Content of VIX, VIX Options and VVIX
by: 黃之澔