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根据计量经济时序模型,基于2005~2009年沪深两股市的数据和统计软件EVIEWS,将计量模型与分形维数相结合,利用股指的高维混沌特征,以L-P算法确定了分形维数。运用向量自回归VAR模型,对沪深两个股市进行了单位根检验,根据AIC和SC信息准则确定滞后阶数,并对股市的未来趋势进行了有效地动态和静态预测,得出了较为合理的结果。
According to the econometric model, based on the data from 2005 to 2009 in Shanghai and Shenzhen stock markets and the statistical software EVIEWS, the econometric model is combined with the fractal dimension. The fractal dimension is determined by the L-P algorithm using the high-dimensional chaotic features of the stock index. Using vector autoregressive VAR model, we test the unit root of the two stock markets in Shanghai and Shenzhen, determine the lag order according to the AIC and SC information criteria, and make an effective dynamic and static forecast of the stock market’s future trends. the result of.