Improving Forecast Accuracy of Stock Index Option Prices by Using Intraday Data
碩士 === 淡江大學 === 財務金融學系碩士班 === 100 === Based on the GARCH (generalized autoregressive conditional heteroskedasticity, GARCH) framework, this thesis considers three volatility model categories: (i) the GARCH(1,1) model, (ii) the GARCH-X model which augments the traditional GARCH model by respectively...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/15340277830762374544 |