关于上证行业类指数的VAR模型实证分析

Empirical Analysis to Four Industrial Classification Index of Shanghai Stocks by VAR Model

本文通过对上证行业类指数中的工业(1B0001)、商业(1B0002)、地产(1B0004)和公用(1B0005)4类指数从1994-12-06到2007-02-09的数据样本进行分析和处理,建立向量自回归(VAR)模型,并对模型做诊断分析和残差检验。由分析结果来看上证这4类重要指数的相关影响与联系。

In this paper, VAR model is established for four important industrial classification index of Shanghai stocks, also diagnosis and residual tests are conducted based on these models. According to these, we can study and do some research on index of Shanghai stock market, and understand their impact and correlation.