基于GARCH股票市场模型技术指标的理论分析

THEORETICAL ANALYSIS OF TECHNICAL INDEXES BASED ON GARCH STOCK MARKET MODEL

本文根据股标市场的动量指标RSI和ROC构造了相应的统计量,并研究了GARCH模型作为真实股票市场上述统计量的概率性质,证明了在给定条件下这些统计量的平稳性和大数定律成立.这为股价的技术分析提供了理论依据.

This paper constructs the corresponding statistics in terms of the momentum indexes RSI and ROC of stock market and investigates the probabilistic properties of the above statitics for GARCH model as real stock market. Under the given conditions, we prove the stationarity and the law of large number holding of these statistics. All these laid a theoretical basis for technical analysis of stock price.