臺灣博碩士論文加值系統

本研究之主要目的為探討使用技術分析於 GARCH 模型，是否改善對於
外匯波動率之預測能力。首先，是以實現波動率為數據資料，採用四大類技術分析指標，如為移動平均線(Moving Average，以下簡稱 MA)、濾嘴法則(Filter Rules，以下簡稱 FR)、支撐與壓力(Support and Resistance，以下簡稱 SR)以及通道突破(Channel Breakout，以下簡稱 CB)，使用技術交易規則來產生交易訊號，將其應用於兩種外匯匯率，包括成熟市場的日幣與新興市場的墨西哥比索，再將交易訊號加入於以日報酬率為數據資料的 GARCH 模型之條件變異數內進行參數估計，估計方法採用最大概似估計法(Maximum likelihood)，並選擇逐日滾動之方法進行預測。最後，為了避免資料探勘偏誤之問題，選擇逐步預測力優劣檢定挑出可擊敗 GARCH 基準模型之本研究模型，其中將 MAE 和 MSE 作為評價基準建立損失函數。實證結果發現本研究使用技術分析調整後，在成熟市場與新興市場皆有少部分競爭模型對波動度之預測可顯著擊敗GARCH 基準模型。

The main purpose of this paper is to explore technical analysis to improve GARCH model of predictive ability in the foreign exchange volatility. First, we use realized volatility as data and apply four technical indicators to produce technical trading signals. For example, Moving Average, Filter Rules, Support and Resistance and Channel Breakout. And we can apply to two different foreign exchange rates, including the mature markets of JPY and emerging markets of MXN. Then we add these trading signals to the conditional variance of GARCH model with daily return data and the parameter estimation is performed. For estimating the parameters of GARCH model, estimation method uses the Maximum likelihood estimation and rolling-window forecast method. Finally, in order to avoid the data snooping problem, we choose the SSPA test to evaluate the effectiveness of forecasting, by using the measurements of MAE and MSE as two evaluation criteria to build up the
loss functions. After adjusting GARCH model, our results show adjusted GARCH model in mature market and emerging markets can outperform the benchmark model.

摘要 .................................................... i
Abstract ............................................... ii
目錄 .................................................. iii
表目次 ................................................. iv
圖目次 .................................................. v
第一章 緒論 ............................................. 1
第一節 研究背景 .......................................... 1
第二節 研究動機 .......................................... 2
第三節 研究目的與架構 .................................... 3
第二章 文獻探討 ......................................... 4
第一節 技術分析 ......................................... 4
第二節 GARCH 模型 ....................................... 4
第三節 最佳化方法 ....................................... 6
第四節 資料探勘問題 ..................................... 6
(一) 定態拔靴法 ......................................... 7
(二) 逐步預測力優劣檢定法 ................................ 8
第三章 資料簡介與研究方法 ................................ 10
第一節 資料介紹 ......................................... 10
(一) 報酬率 ............................................ 11
(二) 實現波動率 ......................................... 11
第二節 技術交易規則 ..................................... 12
(一) 移動平均線(MA) ..................................... 13
(二) 濾嘴法則(FR) ....................................... 14
(三) 支撐與壓力(SR) ..................................... 15
(四) 通道突破(CB) ....................................... 16
第三節 模型設定 ......................................... 19
(一) 基準模型 ........................................... 20
(二) 競爭模型 ........................................... 20
第四節 模型配適 ......................................... 22
(一) 參數最佳化 ......................................... 22
(二) 預測方法 ........................................... 22
第五節 評價預測結果 ..................................... 23
第四章 實證結果與分析 ................................... 26
第一節 預先分析 ........................................ 26
第二節 預測結果 ........................................ 27
第五章 結論與建議 ...................................... 32
第一節 結論 ............................................ 32
第二節 未來研究及建議 ..... ............................ 32
參考文獻 .............................................. 33

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