Volatility in Thailand stock market using high-frequency data

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...

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Main Authors:	Saowaluk Duangin, Jirakom Sirisrisakulchai, Songsak Sriboonchitta
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
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