基于三类模型的四大银行股票收益率预测研究

李雄英1; 陈小玲1; 曾凯华2

基于三类模型的四大银行股票收益率预测研究

引用本文：李雄英1, 陈小玲1, 曾凯华2.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	单位
李雄英1, 陈小玲1, 曾凯华2	(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)

中文摘要: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.

中文关键词: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

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.

keywords:ARMA model GARCH model ARMA-GARCH model model comparison

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