An alternative approach to bad news effects on volatility: The forecast performance of multiple-sign-o/s sensitive regime EGARCH model (MS-O/S-EGARCH)
碩士 === 國立臺北大學 === 國際企業研究所 === 102 === In this paper, we study whether O/S (the ratio of total options market volume to total stock market volume) could be a good predictive tool or not. We used daily data for TAIEX, options and a modified EGARCH model to link between the volatility stock market retu...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2014
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/69252581001394413490 |