| 基于三类模型的四大银行股票收益率预测研究 |
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| 引用本文： | 李雄英,陈小玲,曾凯华.基于三类模型的四大银行股票收益率预测研究[J].经济数学,2018(4):21-27. |
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| 作者姓名： | 李雄英 陈小玲 曾凯华 |
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| 作者单位： | (1.广东财经大学 统计与数学学院，广东 广州 510320；2.广东省技术经济研究发展中心,广东 广州 510070) |
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| 摘 要： | 运用时间序列分析的预测方法,对四大银行的股票日对数收益率序列进行拟合与预测分析,分别构建ARMA模型、GARCH模型以及ARMA-GARCH组合模型,通过模型比较,实证分析表明:在拟合效果上,ARMA-GARCH模型的拟合优度优于ARMA模型和GARCH模型;在预测效果上,ARMA模型的预测效果最优,ARMA-GARCH模型次之.
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| 关 键 词： | ARMA模型 GARCH模型 ARMA-GARCH模型 模型比较 |
Forecast Research of Stock Return Rate of the Big-Four Chinese Banks Based on Three Models |
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| LI Xiongying,CHEN Xiaoling,ZENG Kaihua.Forecast Research of Stock Return Rate of the Big-Four Chinese Banks Based on Three Models[J].Mathematics in Economics,2018(4):21-27. |
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| Authors: | LI Xiongying CHEN Xiaoling ZENG Kaihua |
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| Institution: | (1.College of Statistics and Mathematics, Guangdong University of Finance and Economics, Guangzhou, Guangdong 510320,China; 2.Guangdong Research Center of Technological, Economic and Development, Guangzhou, Guangdong 510070,China) |
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| Abstract: | The prediction method of time series analysis was used to fit and predict the daily logarithmic return sequences of China''s four big Banks. ARMA model, GARCH model and ARMA - GARCH model were constructed respectively. Through the model comparison, the empirical analysis results show that, in terms of fitting effect, the goodness of fit of ARMA - GARCH model is better than that of ARMA model and GARCH model; and in terms of prediction effect, ARMA model has the best prediction effect, followed by ARMA - GARCH model. |
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| Keywords: | ARMA model GARCH model ARMA-GARCH model model comparison |
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