Properties of some statistics for AR-ARCH model with application to technical analysis |
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| Authors: | Xudong Huang Wei Liu |
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| Affiliation: | 1. College of Mathematics and Computer Science, Anhui Normal University, Wuhu 241000, PR China;2. School of Finance and Statistics, East China Normal University, Shanghai 200241, PR China |
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| Abstract: | In this paper, we investigate some popular technical analysis indexes for AR-ARCH model as real stock market. Under the given conditions, we show that the corresponding statistics are asymptotically stationary and the law of large numbers hold for frequencies of the stock prices falling out normal scope of these technical analysis indexes under AR-ARCH, and give the rate of convergence in the case of nonstationary initial values, which give a mathematical rationale for these methods of technical analysis in supervising the security trends. |
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| Keywords: | AR-ARCH model Technical analysis indexes Asymptotically stationary Strong mixing Rate of convergence |
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