The relationship between realized volatility of TAIEX and beta of constituent stocks of Taiwan 50
碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 105 === In this paper, the main study objects were TAIEX and constituent stocks of Taiwan 50. We applied MedRQ method proposed by Andersen, Dobrev and Schaumburg (2012) to calculate the realized volatility of TAIEX. Also, we used GARCH model to explore the relation...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/4ahhr3 |