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| 研究生： |
趙威豪 Tsao, Wei-Hao |
|---|---|
| 論文名稱： |
探討技術交易規則對外匯波動率的增額預測資訊內涵 Can technical rules provide incremental information content for predicting FX volatility? |
| 指導教授： |
顏盟峯
Yen, Meng-Feng |
| 學位類別： |
碩士 Master |
| 系所名稱： |
管理學院 - 財務金融研究所 Graduate Institute of Finance |
| 論文出版年： | 2012 |
| 畢業學年度： | 100 |
| 語文別： | 中文 |
| 論文頁數： | 23 |
| 中文關鍵詞： | 技術分析 、交易規則 、資料探勘偏誤 、逐步真實性檢定 、定態拔靴 |
| 外文關鍵詞： | technical analysis, trading rule, data snooping bias, SRC test, stationary bootstrap |
| 相關次數： | 點閱：147 下載：0 |
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為檢驗技術分析其在外匯波動率的預測能力與獲利能力，本篇研究採用五大類技術交易規則（FR、SR、CB、MA、MOM）共計（1,085條）應用到3種外匯匯率(日幣、英鎊、澳幣)，使用逐步真實性檢定（Stepwise Reality Check, SRC test）於樣本期間內作探討。過去文獻從未有研究結合技術交易指標和波動度GARCH模型，本文想探討是否加入技術指標能進一步提升GARCH（1,1）的預測力，並放在Romano, Shaikh and Wolf的Generalized-k Step RC中來做檢定，以避免資料探勘偏誤(data snooping bias)問題。因此我們能夠在當資料探勘偏誤(data snooping bias)不存在下，討論技術交易規則在不同的幣別和不同的樣本期間中是否能有效地預測外匯波動率。
To examine the predictive and profitable ability of technical analysis in the foreign exchange volatility, we apply 1,085 technical trading rules of five rules families（FR、SR、CB、MA、MOM）to three different foreign exchange rates, then we exam the whole sample period by Stepwise Reality Check （SRC）test. Literature has never been studies to combine the technical trading indicators and GARCH model before. This paper would like to discuss whether joining the technical indicators can further enhance the predictive power of GARCH（1,1）model or not, also we have to test it by using Generalized-k Step RC（Romano, Shaikh and Wolf）in order to avoid the data snooping bias. As a result, we are able to provide a big picture of the effectiveness of technical trading rules in forecasting foreign exchange volatility across different currencies and periods without data snooping bias.
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校內：2017-09-08公開校外：不公開