基于ARMA模型的上证指数月度数据实证分析

Empirical analysis of monthly data of the Shanghai composite index based on ARMA mdel

上证指数是由上海证券交易所编制,反映上海证券交易市场的总体走势,为投资者提供新的投资尺标。根据美国统计学家Box Gep和英国统计学家Jenkins G M提出的Box-Jenkins方法,即时间序列分析法,以2009年1月至2013年2月上证指数的月收盘价格为研究样本,由不平稳的原始数据经过变换形成新的平稳时间序列,建立ARMA模型进行定量分析,得出相邻6个月收盘价之间的关系模型。

T he Shanghai index is compiled by the Shanghai Stock Exchange ,reflecting the overall trend of stock market in Shanghai ,providing investors with a new investment scale .According to the American statistician Box Gep and British statistician Jenkins G M ,who put up with the BOX-Jenkins method that is the time series analysis method ,combining the Shanghai composite index of month closing price as the research sample from January 2009 to February 2013 ,not smooth of raw data through transformation to form new stationary time series ,and set up ARMA model to quantitative analysis .Finally it obtains the adjacent relationship model between the closing price of 6 months .