基于上证指数的标准差系数时间序列预测模型分析

The Analysis of the Time Sequence Prediction Model of Standard Deviation based on the Shanghai Composite Index

证券市场的风险可以通过很多种方式测度出来,其中,稳定性是衡量股票市场风险程度的一个重要的指标,而对于稳定性的度量主要是通过方差的计算来实现的。所以通过预测方差就可以提供另一种描述股票市场未来风险的方式。本文通过对上证指数2009年3月到2012年1月每月的全部交易日收盘价的标准差系数进行研究,运用ARIMA时间序列技术,得出预测模型,对未来的标准差系数进行了预测。

the risk of the securities market can through a variety of ways to measure out, among them, the stability is an important index to measure the degree of the risk of stock market, and for the stability of the measurement is realized mainly through variance calculation. So the forecast variance can provide another way to describe the stock market future risk. Based on the standard deviation coefficient of the Shanghai Composite Index in 2009 March to 2012 January monthly full trading day closing price, by using the ARIMA time series technology, we figure out the forecast model and conduct the prediction of the future standard deviation coefficient.