Can Technical Trading Rules Help the GARCH Model Predict FX Volatility?
碩士 === 國立成功大學 === 財務金融研究所碩士在職專班 === 102 === 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 (...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/xf6h6r |
| Summary: | 碩士 === 國立成功大學 === 財務金融研究所碩士在職專班 === 102 === 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.
|
|---|