MATLAB中基于GARCH模型对股票指数的拟合与预测--以恒生指数为例

Fitting and Prediction of Stock Index Based on GARCH Model in MATLAB--Take the Hang Seng Index as An Example

从股票指数的基础时间序列出发,分析了时间序列的性质以及股票指数的特性。并以此为基础,运用经济统计与计量经济学,选取恒生指数2009年10月至2019年10月十年间日收盘价进行分析,同时利用MATLAB的金融工具分析箱,建立GARCH模型,对恒生指数的日收益率进行建模与预测。结果表明,GARCH模型能够较好地拟合样本数据的对数收益率;在短期内,模型同样拥有较好的预测效果。

Based on the basic time series of stock index, this paper analyzes the properties of time series and stock index. On this basis, with the knowledge of economic statistics and econometrics, the daily closing price of Hang Seng Index from October 2009 to October 2019 is selected to analysis. GARCH models are established by using the Financial Toolbox of MATLAB to model and predict the daily yield of Hang Seng Index. The results show that GARCH model can fit the logarithmic rate of return of sample data well, and in the short term, the model also has a good prediction effect.