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彭奕傑
加權指數日報酬率之風險值預測
加權指數日報酬率之風險值預測
加權指數日報酬率之風險值預測
By
彭奕傑
Programmer
・
Taipei City, Taiwan
Connect
本研究探討具有ARCH效應的財務上資料之日報酬率,以GARCH模型並假設在4種不同分配下,以那斯達克綜合指數(NASDAQ)與富時100指數(FTSE100)作為本研究的實證資料,保留資料最後幾筆作為樣本外預測,透過預測與估計出21個模型的風險值(Value-at-Risk, VaR),再經由回溯測試以及違反率(Violation Rates, VRate)來從兩支加權指數中篩選出最佳模型。 http://dspace.lib.fcu.edu.tw/handle/2377/31964
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彭奕傑
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公開されました: 3月 6日 2021
64
7
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Stock
Time Series
Forecasting
Latex
R
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彭奕傑
の詳細
同時考慮猜答案行為與無反應資料之IRTree模型