English  |  正體中文  |  简体中文  |  Items with full text/Total items : 90120/105277 (86%)
Visitors : 8144117      Online Users : 1918
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/17594


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/17594


    Title: The Efficacy of Model-Based Volatility Forecasting: Empirical Evidence in Taiwan
    Authors: 臧仕維;Tzang, Shyh-Weir;Chih-Hsing Hung;So-De Hsyu
    Contributors: 財務金融學系
    Keywords: Realized volatility;range volatility;semiparametric fractional autoregressive model;multiplicative error model;GJR-GARCH model;variance gamma garch model
    Date: 2009-04
    Issue Date: 2012-11-26 10:37:31 (UTC+8)
    Abstract: The paper adopts several time series models to assess the forecasting efficiency of future realized volatility in Taiwan stock market. The paper finds that, for 1-day directional accuracy forecast performance, semiparametric fractional autoregressive model (SEMIFAR, Beran and Ocker, 2001) ranks highest with 78.52% hit accuracy, followed by multiplicative error model (MEM, Engle, 2002), and augmented GJR-GARCH model. For 1-day forecasting errors evaluated by root mean squared errors (RMSE), GJR-GARCH model augmented with high-low range volatility ranks the highest, followed by SEMIFAR and MEM model, both of which, however, outperform augmented GJR-GARCH by the measure of mean absolute value (MAE) and p-statistics (Blair, Poon and Taylor, 2001).
    Relation: International Research Journal of Finance and Economics
    Appears in Collections:[財務金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    Tzang_The Efficacy of Model-Based Volatility Forecasting Empirical_irjfe_26_02.pdf170KbAdobe PDF406View/Open
    index.html0KbHTML130View/Open


    All items in ASIAIR are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback