Investigating Special Characteristics on Shanghai Stock Market Indez and Related Forecasting Model
With the software Eviews 5.0, this paper analyze the time series of Shanghai stock market close price index, in which monthly observations cover the period from December 1990 to March 2008, and explain its leptokurtosis and fat tailed properties relying on the histogram and stats, consider its distribution as exponential distribution approximately with the Quantile-Quantile graph rather than normal distribution. Then this paper give a forecasting model which has a good accuracy, then test and find that the models error is not autoregressive conditional heteroskedastic.
Descriptive Statistics Quantile-Quantile Graph Unit Root Test Forecasting Model Autoregressive Conditional Heteroskedastic Process
GUO Junyan
School of Statistics and Mathematics, Shandong Economic University, Jinan, P.R.China, 250014
国际会议
2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)
烟台
英文
1-5
2008-08-14（万方平台首次上网日期，不代表论文的发表时间）