| 基于相关系数的变权组合预测模型及其应用 |
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| 引用本文： | 高凤,张德生,郭熊娃,侯晓英.基于相关系数的变权组合预测模型及其应用[J].西北轻工业学院学报,2013(3):167-170. |
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| 作者姓名： | 高凤 张德生 郭熊娃 侯晓英 |
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| 作者单位： | 西安理工大学理学院,陕西西安710054 |
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| 摘 要： | 在马尔科夫转换模型和GARCH模型的基础上,建立了综合以上两种模型优点的基于相关系数的变权组合预测模型,并对沪铜期货价格进行了实证研究.实证研究结果表明:基于相关系数的变权组合预测模型的预测精度明显高于各个单模型的预测精度.
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| 关 键 词： | 相关系数 变权组合预测模型 期货 |
Variable weights combination forecast model based on the correlation coefficient and its application |
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| GAO Feng,ZHANG De-sheng,GUO Xiong-wa,HOU Xiao-ying.Variable weights combination forecast model based on the correlation coefficient and its application[J].Journal of Northwest University of Light Industry,2013(3):167-170. |
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| Authors: | GAO Feng ZHANG De-sheng GUO Xiong-wa HOU Xiao-ying |
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| Affiliation: | (School of Science, Xi＇an University of Technology, Xi＇an 710054, China) |
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| Abstract: | The variable weights combination forecast model based on the correlation coeffi- cient is established based on the Markov switching model and GARCH model, which made a comprehensive use of aboved two kinds of model＇s advantages. And made empirical research on the Shanghai copper futures prices. The empirical results showed that the precision of pre- diction which based on the correlation coefficient of variable weights combination forecast model was significantly higher than the prediction accuracy of every single model. |
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| Keywords: | correlation coefficient variable weights combination forecast model futures |
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