基于ARIMA模型的沪深300股指期货价格预测研究

The Study on Prediction of HS300 Stock Index Futures Price Based on ARIMA

基于ARIMA模型建立了股指期货价格的预测模型,对20100416～20110113间共180个交易日的沪深300股指期货合约收盘价数据进行了实证分析,结果表明:ARIMA模型对于股指期货的价格走势短期预测效果良好,模型能有效反应期货价格的波动性走势.

The forecast model of stock index futures price is established based on ARIMA model, and an empir- ical analysis for the 180 trading days＇ data of HS300 stock index futures from 20100416 to 20110113 is made. The result shows that the ARIMA model is useful for the short-term prediction, and can effectively reflect the price volatility of the futures.