Forecasting Power of Comparing TAIEX Options Volatility Index and Extreme-Value Volatility
碩士 === 國立屏東科技大學 === 財務金融研究所 === 99 === In this paper, the daily data of Taiwan Stock Weighted Index calculated volatility from December 1st, 2006 to October 29th, 2010 as sample. Under the framework of GJR-GARCH (1,1)model, added extreme-value volatility and VIX of Taiwan index options to examine (1...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/73349759191356065582 |