摘要
黄金既关乎国家的战略利益,又关乎老百姓的切身利益,研究黄金价格的变化规律具有重要意义.观察2012年10月1日到2013年8月6日黄金的日交易开盘价发现,在4月中旬和6月下旬黄金价格突然大跌,这期间两次外部事件的发生可以为金价下跌作解释.将两次外部事件作为干预变量,对这段时间的黄金日交易价格建立干预时序模型.经分析这两次干预影响不能只用常规的四种基本类型来描述,它们还具有二次函数的形式.引入具有二次函数形式的干预影响,以提高估计和预测的精度.通过对比发现,干预时序模型不仅在拟合过去而且在预测未来黄金价格方面,都比经典的ARIMA模型精确.
Gold is not only the question of national strategic interests, but also related to the vital interests of the people. Studying gold price is important. By observing the day trading price of gold from October 1, 2012 to August 6, 2013, it is found that gold prices dropped abruptly in mid-April and late June, the two external events occurred during this period can explain for lower prices. The paper treats the two external events as intervening variables, establishing a time series intervention analysis model for the gold price in this period time. By the analysis of the effect of the two interventions, which are not just regular four basic types, also with the influence of quadratic function. In order to improve the accuracy of estimation and prediction, in this paper, we introduce the impact of the intervention in the form of quadratic function. After comparison, the intervention timing model not only in fitting the past, but also in predicting future gold price aspect, is more accurate than the classical ARIMA model.
出处
《数学的实践与认识》
北大核心
2015年第15期146-153,共8页
Mathematics in Practice and Theory
基金
国家自然科学青年基金(11201031)
