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標題: 逐步迴歸, 真實性檢驗與預測力優劣檢定法之探討-以台灣加權指數為例
An Empirical Study on Stepwise Regression, Reality Check and Superior Predictive Ability-Evidence from TAIEX
作者: 李友嘉
Lee, Yu-Chia
關鍵字: reality check;真實性檢驗;test for superior predictive ability;variable selection;prediction;預測力優劣檢定法;變數選取;預測;定態拔靴法
出版社: 應用數學系所
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股票市場是個非常複雜且難以預測的系統, 可是人們總是想用過去的資料對未來做預測。本文利用一些常用的技術分析-動能(momentum), 趨勢(trend line), 相對強度指標(relative strength index), 移動平均(moving average), 以及衍生性金融商品所產生的一些情緒指標(sentiment indicator)-波動率指數(volatility index, VIX), 台指選擇權賣權與買權未平倉
量比例(put call ratio of open interest, PCOI), 台指選擇權賣權與買權成交量比例(put call ratio of volume, PCVOL) 當作迴歸的模型的變數。且利用White (2000) 真實性檢驗(reality check, RC), Hansen (2005) 預測力優劣檢定法(test for superior predictive ability, SPA) 與逐步迴歸等三種方法選取比較有用的變數。希望在眾多的變數中能找到比較可以對未來做預測, 進一步提供較正確的資訊。根據本文數據的結果, 發現情緒指標對於預測能力比較有效。

The return is very complicated and hard to predict in the financial market. This
article uses common technical analysis-momentum, trend line, relative strength index,
moving average and some sentiment indicators -volatility index, put call ratio of open interest, put call ratio of volume to be variables of regression model. Moreover,
we apply reality check (White, 2000), test for superior predictive ability (Hansen, 2005) and stepwise regression to select useful variables. We hope to find useful
variables and provide more correct infromation in the financial markets. Sentiment indicators are useful in this article.
其他識別: U0005-0407200714343600
Appears in Collections:應用數學系所

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