摘要
在双AR(p)模型的基础上,选取了具有代表性的沪深300指数,并对其部分股市收盘价序列进行了平稳化处理,研究了近期中国股市的股价波动.在双.AR(p)模型严平稳条件下进行了模型诊断,最后通过动态预测得出双AR(p)模型可用于股价预测的结论.
This paper by selecting the part of stocks closing price data from the CSI 300 index which can represent the whole Chinese stock market to study the recent share price volatility of China stock market on the basis of double AR （p） models through making the sequence processed smoothly. Next, this paper make model diagnostic in the case of the model is strictly stationary. At last, the dynamic prediction comes to the conclusion that this model could be used to forecast stock price.
出处
《数学的实践与认识》
北大核心
2017年第13期98-104,共7页
Mathematics in Practice and Theory
基金
国家自然科学基金资助项目(11261031)
