| 外汇市场有效性分析与EGARCH汇率预测 |
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| 引用本文： | 王松喜.外汇市场有效性分析与EGARCH汇率预测[J].湖南人文科技学院学报,2005(4):39-41. |
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| 作者姓名： | 王松喜 |
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| 作者单位： | 上海财经大学MBA学院,上海,200083 |
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| 摘 要： | 技术分析以否定有效市场假设为基础,由于外汇市场不是有效市场,技术分析在外汇交易中是有效的。汇率是一个持久性金融时间序列,基于计量经济学的预测模型(如EGARCH)于汇率短期预测效果良好,应用证券技术分析指标结合计量预测模型可以在外汇交易中成功获利。
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| 关 键 词： | 外汇市场 有效市场假设 Hurst指数 EGARCH模型 |
| 文章编号： | 1673-0712(2005)04-0039-03 |
| 修稿时间： | 2005年6月4日 |
Analysis of FOREX Market Efficiency & Using EGARCH as FOREX Forecasting Model |
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| WANG Song-xi.Analysis of FOREX Market Efficiency & Using EGARCH as FOREX Forecasting Model[J].Journal of Hunan Institute of Humanities,Science and Technology,2005(4):39-41. |
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| Authors: | WANG Song-xi |
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| Abstract: | Technical Analysis is based on the opposite of EMH. FOREX is not efficient market, so Technical Analysis is valid in FOREX trading. Because FOREX is a permanent Financial Time Series, EGARCH, one of Econometrics Models, works well in forecasting short-term FOREX. The application of Technical Analysis indicators combined with Econometrics forecasting Model can lead to successful FOREX trading. |
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| Keywords: | FOREX EMH Hurst exponent EGARCH model |
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