Can VIX Improve the Range and Return based Volatility Estimation and Prediction?
碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 99 === This study uses GARCH model as a standard to compare the predictive power for CARR model. Besides, we add the leverage effect and the VIX as the exogenous variable to compare the predictive power. The calculation of VIX adjusted in CBOE on September 22 in 200...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/46656659182342971366 |