Analysis For The Threshold Of Bollinger Bands

As a tool of technological analysis in the stock market, Bollinger bands were paid close attention to by more people in recent years. Utilizing bollinger bands is a approach that is speculating in shares (or index of shares)in the stock market too when the price of shares (or index of shares) will be higher than up-line of bollinger bands, the shares should be throwed out, and vice verser. In other words it's a good chance to sell or buy it. The up-line or down-line of bollinger bands are called a threshold of bollinger bands. As closely related with statstics, especially as characteristic of time series, the threshold of bollinger bands will be analyzed by this way. Because the price of shares (or index of shares) is close correlated with bollinger bands, we should make good use of it. On one hand, we will establish model for the price of shares (or index of shares) to reflect the correlative relationship, on the other hand, we will analyze the related threshold of bollinger bands by the model. Combining with the two aspects, we will utilize the threshold autoregression model and the methods of estimating parameters to recongnize the related parameter of threshold of bollinger bands. Finally, we utilize Dow Jones Index, Hong Kong Hang Seng Index, the composite of Shanghai Stock Exchange and IBM stock to analyze.