GJR 與Volatility-Switching GARCH 模型的比較: 台灣股票市場條件波動不對稱性的研究

This paper compares both the GJR model and Volatility-Switching model for the ability to capture the asymmetry of the conditional volatility. We also derive the forecasting formulas for both the GJR model and Volatility-Switching model. Second, we test the inversion of the ...