The Empirical Study of The Volatility Under Multifractal Model in S&P 100 stock option market
碩士 === 國立中興大學 === 財務金融系所 === 98 === In this paper, I want to know the volatility forecast ability of MSM (Markov Switching Multifractal) model compared with GARCH model and the implied volatility. I use the S&P 500 and S&P 100 index to test the predictive power and find that GARCH model perf...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/56556239103899961762 |