Observation Frequency of Volatility Estimation in Foreign Exchange
碩士 === 國立臺灣大學 === 國際企業學研究所 === 104 === The main purpose of the thesis is comparing the results of volatility estimation under different models and observation frequencies. These models include GARCH, EGARCH and TGARCH models. Both testing for the goodness-of-fit and sample forecasting will be conduc...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/22809927124153161085 |