Mont Carlo Simulation for Comparing the Forecast Accuracy of ARE (1,1) Model and ARMA (1,1) Model

摘要：

This article has presented a new model which can be seen as the ACD model applying to stock return. We compare the forecast accuracy of this model and the ARMA (1,1) model through Mont Carlo simulation and afterwards we analysis the Shanghai stock index with the ARE (1,1) model.

关键词： ARE model ARMA model mont carlo simulation forecast

作者: DING Feipeng LUO Yan

作者单位: Economic and Management College, Sichuan Agriculture University, P.R.China, 625014 Resources and Environment College, Sichuan Agriculture University, P.R.China, 625014

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 161-164

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）