基于向量自回归上证指数影响指标的研究

Research on the Impact Index of Shanghai Stock Index on the Basis of Vector Autoregressive

针对影响上证指数的经济指标,通过使用灰色关联度、相关系数法以及向量自回归分析法,分别建立指标排序模型,上证指数的拟合模型,选取影响上证指数的主要指标,并通过使用EVIEWS、MATLAB等软件做出脉冲响应函数图以及方差分解图,得到每一影响指标对上证指数的冲击效应及方差贡献率,并最终根据所得的结论给出政策建议。

According to the economic indicators of the impact about the Shanghai index,in this paper,we use gray correlation degree and correlation coefficients to establish a model of Index.According to the obtained values,we select the size of the main indicators of the impact of the Shanghai index.We use vector autoregression analysis and segmentation model to fit the Shanghai index.And we have based on the resulting vector autoregression model to make impulse response function and variance decomposition diagram map.