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    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/17595

    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/17595

    Title: Forecasting efficiency of implied volatility and the intraday high-low price range in Taiwan stock market
    Authors: 臧仕維;Tzang, Shyh-Weir;Chih-Hsing Hung;David So-De Hsyu
    Contributors: 財務金融學系
    Keywords: VIX;VXO;GJR GARCH;volatility forecasting
    Date: 2009-05
    Issue Date: 2012-11-26 10:37:32 (UTC+8)
    Abstract: The paper compares the efficacy of high low range volatility and implied volatility indexes in volatility forecasting. VIX and VXO, the constructed volatility indexes of Taiwan stock market, are usually believed to deliver effective forecasts of stock index return volatility. Based on the econometric models examined in the paper, the high low range volatility is found to provide volatility forecasting at least as efficient as do the volatility indexes. For smaller in-sample size, however, VIX is more efficient than other models in volatility forecast. In a market like Taiwan where volatility index may be hard to measure with accuracy due to a less liquid option trading, the high low range volatility, in combination with VIX, can be used by practitioners as alternative tools in investment decisions and risk management.
    Relation: International Research Journal of Finance and Economics
    Appears in Collections:[財務金融學系] 期刊論文

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