摘要
文章利用VAR模型对我国股票价格指数做出预测,结果显示,VAR模型对当前下一期预测结果比较准确,而对多步预测的结果不太理想。详细分析了Granger因果效应和相应的脉冲响应函数,并讨论了VAR模型适用范围,引出可以对某投资组合做预测评价,使得证券监督管理机构有效地监督股票市场的风险,并判断其投资行为存在异常情况,为投资者提供正确的股票市场预估信息。
This paper uses the VAR model to predict the stock price index in China.The results show that the VAR model is comparatively accurate for predicting the next period,while the result of multi-step prediction is not ideal.The paper also analyzes in detail the Granger causality effect and the corresponding impulse response function,and discusses the application scope of VAR model,deriving the possibility to predict and evaluate a certain portfolio,which makes the securities regulatory authority able to effectively supervise the risk of the stock market,judge the abnormal situation of its investment behavior,and provide investors with accurate stock market forecasts.
作者
陈成
丁皖婧
Chen Cheng;Ding Wanjing(Faculty of Law,China University of Labor and Relations;Collaborative Innovation Center of Judicial Civilization,China University of Political Science and Law,Beijing 100048,China)
出处
《统计与决策》
CSSCI
北大核心
2019年第5期159-163,共5页
Statistics & Decision
基金
中国劳动关系学院教育部教改专项经费项目(zyjs201806)
关键词
证券业行政监管
VAR
多元时间序列预测
Granger投资组合
administrative supervision of the securities industry
VAR
multivariate time series forecast
Granger portfolio