基于三类模型的四大银行股票收益率预测研究
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摘要
运用时间序列分析的预测方法,对四大银行的股票日对数收益率序列进行拟合与预测分析,分别构建ARMA模型、GARCH模型以及ARMA-GARCH组合模型,通过模型比较,实证分析表明:在拟合效果上,ARMA-GARCH模型的拟合优度优于ARMA模型和GARCH模型;在预测效果上,ARMA模型的预测效果最优,ARMA-GARCH模型次之.
The prediction method of time series analysis was used to fit and predict the daily logarithmic return sequences of China's four big Banks.ARMA model,GARCH model and ARMA-GARCH model were constructed respectively.Through the model comparison,the empirical analysis results show that,in terms of fitting effect,the goodness of fit of ARMA-GARCH model is better than that of ARMA model and GARCH model;and in terms of prediction effect,ARMA model has the best prediction effect,followed by ARMA-GARCH model.
The prediction method of time series analysis was used to fit and predict the daily logarithmic return sequences of China's four big Banks.ARMA model,GARCH model and ARMA-GARCH model were constructed respectively.Through the model comparison,the empirical analysis results show that,in terms of fitting effect,the goodness of fit of ARMA-GARCH model is better than that of ARMA model and GARCH model;and in terms of prediction effect,ARMA model has the best prediction effect,followed by ARMA-GARCH model.
引文
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[2]吴玉霞,温欣.基于ARIMA模型的短期股票价格预测[J].统计与决策,2016(23):83-86.
[3]鲁万波.基于非参数GARCH模型的中国股市波动性预测[J].数理统计与管理,2006,25(4):455-461.
[4]王蒋凤,吴群英.基于GARCH族模型对中国股市波动的分析与预测[J].经济研究导刊,2011(34):74-77,234.
[5]魏红燕,孟纯军.基于GARCH模型的短期汇率预测[J].经济数学,2014,31(1):81-84.
[6]罗永恒.基于ARMA模型的中国农产品价格的分析与预警[J].经济数学,2013,30(1):96-99.
[7]付燕,栗锋.ARMA模型在我国体育股票价格预测中的应用[J].统计与决策,2012(21):101-103.
[8]贺本岚.股票价格预测的最优选择模型[J].统计与决策,2008(6):135-137.
[9]闫冬.基于ARMA-GARCH模型的上证指数短期预测研究[J].重庆理工大学学报(社会科学),2012,26(10):36-39.
[10]杨琦,曹显兵.基于ARMA-GARCH模型的股票价格分析与预测[J].数学的实践与认识,2016,46(6):80-86.
[11]王斌会.计量经济学模型及R语言应用[M].广州:暨南大学出版社,2015:221.
[12]王博.基于ARMA-GARCH模型的上证指数实证分析[J].科学技术与工程,2012,12(5):1219-1221,1226.
[13]陈小玲.基于ARIMA模型与神经网络模型的股价预测[J].经济数学,2017,34(4):30-34.