Before revision: The goal of this study is to make connections between Bollinger Bands and time series models in order to gain a better understanding of the statistical underpinnings of Bollinger Bands. In the first part of the study, we review a popular econometric model called the rolling regression time series model and illustrate an equivalence between the latter and the Bollinger Band methodology.
After revision: The goal of this study is to make connections between Bollinger Bands and time series models in order to gain a better understanding of the statistical underpinnings of the Bollinger Band methodology. We start off by elucidating the rolling regression time series model and illustrate an equivalence between the latter and the Bollinger Band methodology.