摘要近几年我国资本市场快速发展,上市公司家数和股票市值都有大幅提高,伴随着人们财富积累的增加,以及多元化投资意识的提高,证券市场已经成为人们重要的投资渠道之一,参与股票投资的人数不断增加,而证券投资一直是经济学界中的热点研究话题。无论是价值投资者,还是基本面或技术面投资者,都希望知道下一时刻的股指运行方向。现在金融大数据时代已经来临,金融市场的数据具有明显的时间性,各种时间序列处理方法可以作为其的处理工具。本文以上海综合指数作为研究对象,以ARIMA模型作为工具,采用Eviews 6.0软件进行统计处理,发现ARIMA(1,1,4)模型拟合效果较好,且通过了相关的检验。最后本文根据该模型,进行了样本外预测,预测误差在0.322%,同时动态误差效果较好,预测值都在2倍置信区间内运行,这说明该模型具有较强的实用性。46977
In recent years the rapid development of capital market in our country, the number of listed companies and stock market value has greatly increased, with the increase of the accumulation of wealth, people and persified investment consciousness enhancement, the securities market has become one of important investment channels, to participate in the continued increase in the number of stock investment, and the securities investment has always been a hot research topic in economics. Value investors, or fundamental or technical investors want to know the stock index of the next moment running direction. Now the big data age has come, financial markets have obvious timeliness of data time series processing methods can be used as its processing tools. In this paper, the Shanghai composite index as the research object, by ARMA model as a tool, use Eviews 6.0 software for statistical processing, found that ARIMA (1,1,4) model fitting effect is good, and passed the inspection. At the end of the paper, according to the model, has carried on the sample prediction, prediction error in 0.322%, at the same time, the effect of dynamic error, predicted values are in 2 times within the confidence interval operation, it shows that the model has strong practicality.
毕业论文关键词: 上证综合指数; ARIMA模型
Key words: Shanghai Composite Index ; ARIMA Model
目录
一、引言 4
二、ARIMA模型简介 5
(一)自回归模型AR(p) 5
(二)移动平均模型MA(q) 5
(三)自回归移动平均模型ARMA(p,q) 6
(四)单整的自回归移动平均模型ARIMA(p,d,q) 6
三、上证综指的ARIMA模型的建立 6
(二)相关图 7
(三)识别模型 8
(四)模型的诊断与检验 11
1、特征根检验 12
2.残差序列的自相关检验 12
(五)预测 13
四、总结 14
参考文献 15
致谢 15
一、引言
目前,我国的证券市场还处于发展阶段,发展历史仅有20年左右,这与国外百年的资本市场建设历程相比,还处于初级建设阶段,相关的制度建设、基础设备以及人员素质方面都存在着很大的差距,但是伴随着人们财富积累的增加,以及多元化投资意识的提高,我国近几年资本市场快速发展,上市公司家数和股票市值都有大幅提高,截止2014年年末我国境内上市公司数为2613家,比2000年增加了1.10倍,证券市值为37.25万亿人民币,相当于当年国民经济总值的58.57%。同时,2014年上海证券交易所各类有价证券总成交金额128.15万亿元,比2013年增长48.1%,其中,股票成交金额37.72万亿元,比2013年增长63.8%。