Predicting volatility and the information content of informed trader in option market
博士 === 國立臺灣科技大學 === 財務金融研究所 === 100 === In Chapter 1, we evaluate the performance of the ability of Markov-switching multifractal (MSM), implied, GARCH, and historical volatilities to predict realized volatility for both the S&P 100 index and equity options. Some important findings are as follow...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/pp8uxx |