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 Title: 結合買權改進IGARCH模型之參數估計;Combined Option to Improve the Parameter Estimation of IGARCH Authors: 呂宗翰;Chung-han Lu Contributors: 統計研究所 Keywords: 資產報酬;股價;波動永久性;IGARCH模型;買權;return;Stock price;option;volatility persistence;IGARCH model Date: 2009-06-01 Issue Date: 2009-09-22 11:03:31 (UTC+8) Publisher: 國立中央大學圖書館 Abstract: 在財務時間數列資料分析中，許多模式例如ARIMA模式、GARCH模式以及Bollerslev(1986)提出之IGARCH模式等都是常用的模型。 在實際應用上，這些模式都有一些未知參數需要估計。本文將使用迪士尼公司的資料，針對IGARCH模式，嘗試運用市場上股票以及買權所提供的資訊，找出可以更快速且準確估計出參數的方法。 單純使用股價或者買權資訊並不能使結果變好。最後我們發現，結合買權及股價資訊後，確實可以將參數估計的更為準確。 In the financial time series data analysis, many models such as the ARIMA models, the GARCH model and Bollerslev (1986) who proposed IGARCH model, etc. are commonly used. In practice, there are a number of unknown parameters needed to be estimated. This article will use the information on the Walt Disney Company, for IGARCH mode, try to use the stock as well as the option price information provided to find out more quickly and accurate method to estimate parameters. Use only the stock or option information can not get better results. Finally, we found the combination of stock and option price information, can indeed be more accurate parameter estimation. Appears in Collections: [統計研究所] 博碩士論文

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