完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Kim-Leng Goh | |
dc.contributor.author | Kim-Lian Kok | |
dc.date.accessioned | 2020-08-25T06:28:33Z | - |
dc.date.available | 2020-08-25T06:28:33Z | - |
dc.date.issued | 2006/04/01 | |
dc.identifier.issn | issn16070704 | |
dc.identifier.uri | http://dspace.fcu.edu.tw/handle/2376/2257 | - |
dc.description.abstract | Historical prices information has not been exhaustively exploited in forecasting the 10-_x000D_ minute-ahead Composite Index of the Malaysian stock market. A simple model incorporating intraday seasonality can have lower forecast errors than a random walk. Improved accuracy is achieved when time-varying volatility is included in the time-of-day seasonal model for both in-sample and out-of-sample forecasts. The updating of parameter estimates of these volatility models at each new forecast origin to incorporate the latest available information leads to further improvement in forecast performance. | |
dc.description.sponsorship | 逢甲大學 | |
dc.format.extent | 19 | |
dc.language.iso | 英文 | |
dc.relation.ispartofseries | international journal of business and economics | |
dc.relation.isversionof | Volume5,No.1 | |
dc.subject | calendar effects|forecast|ARCH models|random walk | |
dc.title | Beating the Random Walk: Intraday Seasonality and Volatility in a Developing Stock Market | |
dc.type | 期刊篇目 | |
分類: | Volume05,No.1 |
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