Volatility in Thailand stock market using high-frequency data
© Springer International Publishing AG 2018. The objective of this research is twofold: First, we aim to investigate the performance of conventional GARCH and GARCH-jump models when the data has high frequency. Second, the obtained conditional volatility from the best fit model is used to forecast a...
Saved in:
| Main Authors: | , , |
|---|---|
| 格式: | Book Series |
| 出版: |
2018
|
| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037828828&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/43875 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 機構: | Chiang Mai University |