关于上证综指的时间序列模型分析(6)

Variable AR(1) MA(1) R-squared

Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat Inverted AR Roots Inverted MA Roots

Coefficient -0.785806 1.042049

Std. Error 0.099525 0.010967

t-Statistic -7.895594 95.01761

Prob. 0.0000 0.0000 -1.076398 23.81897 9.115692 9.200136 9.146224

0.128755 Mean dependent var 0.105828 S.D. dependent var 22.52338 Akaike info criterion 19277.50 Schwarz criterion -180.3138 Hannan-Quinn criter. 2.037772 -.79 -1.04

Estimated MA process is noninvertible

Estimation Command:

========================= LS X1 AR(1) MA(1)

Estimation Equation:

=========================

X1 = 0 + [AR(1)=C(1),MA(1)=C(2),INITMA=2002,ESTSMPL="2002 2041"]

Substituted Coefficients: =========================

X1 = 0 + [AR(1)=-0.78580571536,MA(1)=1.0420493992,INITMA=2002,ESTSMPL="2002 2041"]

六、预测

利用forecase得到：

2.39184600000

0442

代入方程可多得到预测的价格为2308.925+2.392=2311.317.

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