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系統識別號 U0026-1408201413295900
論文名稱(中文) 技術分析能否加強GARCH模型預測外匯的波動性?
論文名稱(英文) Can Technical Trading Rules Help the GARCH Model Predict FX Volatility?
校院名稱 成功大學
系所名稱(中) 財務金融研究所碩士在職專班
系所名稱(英) Graduate Institute of Finance (on the job class)
學年度 102
學期 2
出版年 103
研究生(中文) 鄭緣祥
研究生(英文) Yuan-Hsiang Cheng
學號 R87001113
學位類別 碩士
語文別 中文
論文頁數 17頁
口試委員 指導教授-顏盟峯
口試委員-王澤世
口試委員-劉裕宏
口試委員-林軒竹
中文關鍵字 技術分析  ㄧ般化自我迴歸異質變異數模型  外匯波動度 
英文關鍵字 Technical analysis  GARCH  Foreign exchange volatility 
學科別分類
中文摘要 本研究的主要目的是在檢驗技術分析在外匯波動度的預測能力。本篇研究採用五大類技術指標:濾嘴法則(FR)、支撐與壓力(SR)、通道突破(CB)、移動平均線(MA)、動量(MOM)。將共計27條的技術交易規則應用到2種外匯匯率:澳幣(AUS)和日幣(JPY)。我們採用以27條的技術交易規則擴充後的一般化自我相關條件異質變異模型 (GARCH(1,1) model)為比較模型,藉由計算均方誤差(MSE)及平均絕對誤差(MAE)於樣本期間內探討是否比較模型對外匯波動度的預測力表現優於GARCH(1,1)基準模型。本文想探討是否加入技術分析指標能進一步提升GARCH(1,1)對外匯波動度的預測力,並討論在不同的幣別和不同的樣本期間中加入技術分析是否能有效地提升波動度模型對外匯波動度的預測能力。
英文摘要 This paper examines the predictive and profitable ability of technical analysis in the foreign exchange volatility. We apply five technical indicators (FR, MA, CB, SR and MOM) which total 27 technical trading rules to two different foreign exchange rates (AUD and JPY). We use the augmented GARCH(1,1) model with 27 technical trading rules as competing models and then exam whether any of these competing models can provide better predictability of volatility than the GARH(1,1) benchmark model based on the loss functions of MSE and MAE. This paper would like to discuss whether technical analysis indicators can improve the ability of the GARCH model to predict the foreign exchange volatility.
論文目次 摘要 I
Abstract II
一、前言 1
二、文獻回顧 2
三、研究方法 4
3.1.報酬和已實現波動度 4
3.2.技術指標 5
3.3.樣本內模型參數估計 7
3.4.樣本外的波動度預測表現 8
四、實證的結果 10
4.1 資料 10
4.2 樣本外波動度預測績效 10
五、結論 11
5.1 結論 11
5.2 未來研究建議 11
附錄 13
參考文獻 15
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