GM(1,1)模型在上证指数中的应用

The Application of GM(1,1)Model in Shanghai Stock Index

针对2009年12月1日至2009年12月16日的上证指数每日收盘价,本文主要利用灰色预测GM(1,1)模型进行研究。重点对阴变集合进行了预测,发现在给定α=0.05时,平均相对残差0.0281<0.05及相对残差序列最后一个值0.0096远小于0.05,预测模型是合格模型。同时预测了2009年12月22日收盘价是下跌的,验证发现在这一天上证指数正好是下跌的,表明利用GM(1,1)模型预测的准确率比较高。

This paper mainly uses the grey prediction GM(1,1)model to study the daily closing price of the Shanghai stock index from December 1st,2009 to December 16th,2009,and focuses on the prediction of the negative variation set.It is found that at a given time,the average relative residual is 0.0281<0.05 and the last value of the relative residual sequence is 0.0096 far less than 0.05.The prediction model is a qualifying model.At the same time,the prediction(December 22,2009)of the Shanghai composite index is down,and it is found that the Shanghai composite index is exactly down on this day.The results show that the prediction accuracy of GM(1,1)model is high.