基于时间序列的上证综合指数分析及预测

Analysis and Forecast of Shanghai Composite Index Based on Time Series

近年来,随着我国金融体系越发完善,机遇与风险并存,金融市场的潜在危机也日益显现,所以对股价的合理预测变得更为重要。鉴于此,选取时间序列作为模型,使用R语言作为实现的软件,先对序列进行平稳性检验和白噪声检验,计算出不同的模型的AIC值,最终选择ARIMA(2,2,0)作为报告使用模型,用时间序列回归来对上证综指进行拟合预测。

Recently,with the perfect of the finance system in China,owing to opportunities and risks coexisting,national finance market has been involved in some potential crisis.Consequently,time series is chosen as the model while R language is used as the implement tool to test the stationarity of the series.After calculating the AIC value,ARIMA(2,2,0)is chosen as the final model.Finally,the time series regression of Shanghai Composite Index is fitted and predicted.