基于ARIMA模型军工板块波动性研究

Research on the Volatility of Military Industry Plate Based on ARIMA Model

基于我国股票的中证军工板块指数日收盘价,分析股票中证军工板块收盘价的主要统计特征,进行平稳性检验、自相关性检验以及条件异方差检验,建立了预测股票中证军工板块收盘价波动性的ARIMA(自回归移动平均)模型,并对未来3天股票的中证军工板块收盘价进行预测.结果表明,所建立的ARIMA模型对收盘价时间序列具有较好的拟合作用,能对投资者下一步的决策起到重要的作用.

Based on the daily closing price of the CSI Military Industry Sector Index of my country's stocks,we analyze the main statistical characteristics of the closing price of the CSI Military Industry Sector and conduct stationarity tests,autocorrelation tests and conditional heteroscedasticity tests,the ARIMA model was established to predict the volatility of the closing prices of the CSI military industry plate.And the closing prices in the next three days were predicted by the ARIMA model.The results showed that the ARIMA model has good fitting effect for the closing price time series.It can play an important role in investors' next decision-making.