Chen, Show-Lin; Chen, Nen-Jing; Chuang, Rwei-Ju - In: Journal of Applied Statistics 41 (2014) 4, pp. 785-801
One of the deficits of the common Bollinger band is that it fails to consider the fat tails/leptokurtosis often exists in financial time series. An adjusted Bollinger band generated by rolling GARCH regression method is proposed in this study. The performance of the adjusted Bollinger band...