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运用AR模型对上海A股指数回报率进行研究,通过时序图和DF平稳性检验的结果模型阶数,观察数据的自相关性和偏相关性,并建立相应的AR(p)模型,运用模型对未来的指数回报率进行预测。
Using the AR model to study the return rate of A-share index in Shanghai, the autocorrelation and partial correlation of the data are observed through the order of time series and the results of the DF stationarity test, and the corresponding AR (p) model is established. Using the model Forecast future index returns.