摘要
基于小波分解理论建立了小波分解ARMA-GARCH模型,通过天宏周期策略基金数据对模型的有效性进行实证分析.结果表明,小波分解ARMA-GARCH模型的预测精度显著高于小波去噪AR模型与ARMA-GARCH模型的预测精度,短期预测精度稍高于长期预测,且预测效果在数据的平稳期显著优于震荡期.
A wavelet ARMA-GARCH model is established to predict the net value of the fund.By selecting Tianhong Cycle Fund,the predictive effect of the new model is empirical analyzed.The result showed the predictive value of the wavelet ARMA-GARCH model is more accuracy than the traditional ARMA-GARCH predictive model and it is related to the vibrate of the ACCNAV and the length of the predictive period.
出处
《纺织高校基础科学学报》
CAS
2016年第4期-,共8页
Basic Sciences Journal of Textile Universities
基金
国家自然科学基金资助项目(11571268)
陕西省自然科学基金资助项目(2014JM1021)
