Can VIX forecast the volatility of TAIEX?
碩士 === 國立高雄第一科技大學 === 金融理財研究所 === 98 === This study tried to examine whether VIX can forecast the realized volatility of TAIEX. Because of the non-stationarity of both VIX and realized volatilities, we calculated the change rate of the two series to test their lead-lag relationship by VAR and Grange...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/67677677310913123836 |