| 沪深A股综合指数的时间序列分析建模与预测 |
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| 引用本文： | 赵晓葵.沪深A股综合指数的时间序列分析建模与预测[J].青海师范大学学报(自然科学版),2012,28(3):26-29. |
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| 作者姓名： | 赵晓葵 |
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| 作者单位： | 青海师范大学经济管理学院,青海西宁,810008 |
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| 摘 要： | 通过基于Box-Jenkins方法的时间序列分析技术,对中国沪、深A股综合指数的2000～2009年月收盘数据序列进行建模分析,验证了沪、深A股综合指数月收盘数据的时间序列特性,研究并选择了这两个序列的最佳ARMA模型,本文也通过模型对2010年的综合指数进行了预测.模型实证分析的结果表明：在股市综合指数时间序列分析建模与预测方面,Box-Jenkins方法及其模型是一种精度较高且切实有效的方法模型.
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| 关 键 词： | Box-Jenkins方法 股票综合指数 时间序列分析 ARMA模型 |
The modeling and forecasting on composite index time series of Shanghai and Shenzhen A-share |
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| ZHAO Xiao-kui.The modeling and forecasting on composite index time series of Shanghai and Shenzhen A-share[J].Journal of Qinghai Normal University(Natural Science Edition),2012,28(3):26-29. |
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| Authors: | ZHAO Xiao-kui |
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| Institution: | ZHAO Xiao-kui(School of Economics and Management,Qinghai Normal University,Xining 810008,China) |
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| Abstract: | Via time series analysis technique based on Box-Jenkins method,this article builds a model and analysis China＇s Shanghai and Shenzhen a-share index 2000~2009-month closing high of the data series,then researches and selects the best of these two sequences ARMA model,this article also uses this model to predict the 2010 index.Empirical analysis of the model results show that：On the stock market composite index time series modeling and forecasting,Box-Jenkins method and its model is a high precision and effective model of method. |
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| Keywords: | Box-Jenkins method stock composite index time series analysis ARMA model |
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