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。

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.

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