文章基本信息

标题：Analysis of GARCH modeling in financial markets: an approach based on technical analysis strategies
其他标题：Analysis of GARCH modeling in financial markets: an approach based on technical analysis strategies
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作者：Gherman, Mircea Cristian
期刊名称：Acta Universitatis Danubius. Oeconomica
印刷版ISSN：2065-0175
电子版ISSN：2067-340X
出版年度：2011
卷号：7
期号：4
语种：English
出版社：Danubius University
摘要：In this paper we performed an analysis in order the make an evidence of GARCH modeling on the performances of trading rules applied for a stock market index. Our study relays on the overlap between econometrical modeling, technical analysis and a simulation computing technique. The non-linear structures presented in the daily returns of the analyzed index and also in other financial series, together with the phenomenon of volatility clustering are premises for applying a GARCH model. In our approach the standardized GARCH innovations are resampled using the bootstrap method. On the simulated data are then applied technical analysis trading strategies. For all the simulated paths the “p-values” are computed in order to verify that the hypothesis concerning the goodness of fit for GARCH model on the BET index is accepted. The processed data with trading rules are showing evidence that GARCH model is a good choice for econometrical modeling of financial time series including the romanian exchange trade index.
关键词：conditional heteroscedasticity; volatility clustering; conditional variance; bootstrap; trading strategies;JEL Classification:G17;C32;C52