Tang, Sheung Yin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 76-82). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.9 / Chapter 3 --- Models --- p.20 / Chapter 3.1 --- Single Regime GARCH Models --- p.20 / Chapter 3.1.1 --- "GARCH (1,1) Model" --- p.22 / Chapter 3.1.2 --- "EGARCH (1, 1) Model" --- p.24 / Chapter 3.1.3 --- GARCH-M (1，1) Model --- p.25 / Chapter 3.2 --- Markov Regime Switching GARCH Model --- p.26 / Chapter 4 --- Data and Descriptive Analysis --- p.37 / Chapter 4.1 --- Data --- p.37 / Chapter 4.1.1 --- Unit Root and Stationary Tests --- p.39 / Chapter 4.1.2 --- Tests for Conditional Heteroskedasticity --- p.40 / Chapter 5 --- Empirical Results and Discussion --- p.43 / Chapter 5.1 --- In-Sample Statistics --- p.44 / Chapter 5.2 --- Forecasting Performance --- p.54 / Chapter 5.2.1 --- Results of Statistical Loss Functions --- p.55 / Chapter 5.3 --- Tests of Equal Predictive Ability --- p.62 / Chapter 5.3.1 --- Diebold-Mariano Test --- p.62 / Chapter 5.3.2 --- Results of DM Test --- p.64 / Chapter 6 --- Conclusion --- p.68 / A Forecasts from the Models --- p.72 / Bibliography --- p.76