基于指数每日最高最低值预测的一种新方法

Forecast of Daily High and Low Price of SS 300 Index based on VECM

金融市场中有各种各样的指数,在做投资决策时需要对这些指数进行预测。在我国沪深300指数是第一个全面反映沪市、深市综合走势的指数,也是目前作为股指期货标的物的唯一指数,本文构建模型对沪深300指数日最高和最低值进行预测。文中分别使用普通误差修正模型(VECM)和基于广义异方差(GARCH)模型进行分向量估计的VECM对2005年4月8日至2010年3月19日的沪深300指数价格最高、最低值序列进行实证分析,做出相关预测,并利用相对误差对结果进行评价。结果表明,用基于GARCH模型的VECM获得的预测结果相对误差更小,预测也更加精确。

There are many indices in financial markets,and people need to predict them when making investment decisions.Shanghai and Shenzhen 300 Index is the first one fully reflecting the composite trends of the Shanghai and Shenzhen markets,and it is the only subject matter of stock index futures in China.In this study,we propose a new method to predict the daily highs and lows of this index based on the data from April 8,2005 to March 19,2010.Using both the common VECM and a VECM based on GARCH model,we found that the latter,which estimates sub-vectors separately,can predict more accurately with less relative errors.