A Forecast Comparison of Volatility Models in Taiwan Stock Market
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 99 === Abundant GARCH models are proposed in the econometric literatures, but which one is the most appropriate to describe the data has not been consistently concluded. This study use the SPA test of Hansen(2005)and Step-SPA of Hsu,Hsu and Kuan(2008) to compare the...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
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100
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| Online Access: | http://ndltd.ncl.edu.tw/handle/68649912044114696677 |