A Study of Asymmetric Volatility Relationship between American Stock Market vs. Taiwan Stock Market: An Application of Multiple Variables GJR-GARCH Model
碩士 === 嶺東科技大學 === 財務金融研究所 === 98 === This paper studied the spread effect from the United States to Taiwan, Shanghai and Shenzhen using the GJR-GARCH model which has good measurement when exits the fluctuation asymmetry. The study period is from 2000 to 2009 which contains 2022 pieces of daily data....
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37039491178799419731 |