FORECASTING VOLATILITY IN RUSSIA STOCK MARKET A COMPARISON OF ALTERNATIVE DISTRIBUTION ASSUMPTION AND GARCH MODEL
碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 100 === This study selects the appropriate model to match volatility of Russia stock market from ARCH, GARCH and EGARCH models and find the appropriate distribution assumption from normal, t and GED distribution. In the meantime, I use “5 days rolling return” to be...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/11215031482686230028 |