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: | , , |
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| Format: | Book Series |
| Published: |
2018
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| Online Access: | 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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| Institution: | Chiang Mai University |
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