Volatility Forecasting of Crude Oil Future－Under Normal Mixture Model and NIG Mixture Model
碩士 === 國立中山大學 === 財務管理學系研究所 === 100 === This study attempts to capture the behavior of volatility in the commodity futures market by importing the normal mixture GARCH Model and the NIG mixture GARCH model (Normal-inverse Gaussian Mixture GARCH Model). Normal mixture GARCH Model (what follows called...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/17030276778825660020 |