| 时间序列分析方法及ARMA，GARCH两种常用模型 |
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| 引用本文： | 武伟,刘希玉,杨怡,王努.时间序列分析方法及ARMA，GARCH两种常用模型[J].微机发展,2010(1):247-249,F0003. |
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| 作者姓名： | 武伟 刘希玉 杨怡 王努 |
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| 作者单位： | 山东师范大学信息科学与工程学院;山东师范大学管理与经济学院; |
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| 基金项目： | 国家自然科学基金重大项目(60873058,60743010); 山东省自然科学基金重大项目(Z2007G03) |
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| 摘 要： | 证券市场具有数据单一性（大量不需要经过特殊处理的数据）、分析手段多样性和隐蔽性的特点，且与其飞速发展不相称的是证券分析技术进展的缓慢。股市系统中时间序列的预测问题具有重要的理论及实际意义，时间序列的获取是通过对数据库中数据进行分类汇总分析而获得。获取时间序列数据以后可以对它进行预测分析，从而较准确地预见系统的演进。文中介绍了时间序列的基本知识，同时比较了ARMA和GARCH两种常用模型，得出对于中国股市，GARCH模型性能优于ARCH模型。
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| 关 键 词： | 时间序列分析法 自回归移动平均模型 条件异方差模型 |
Analysis Method of Time Array and Two Models of ARMA and GARCH |
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| WU Wei,LIU Xi-yu,YANG Yi,WANG Nu.Analysis Method of Time Array and Two Models of ARMA and GARCH[J].Microcomputer Development,2010(1):247-249,F0003. |
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| Authors: | WU Wei LIU Xi-yu YANG Yi WANG Nu |
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| Affiliation: | WU Wei1,LIU Xi-yu2,YANG Yi2,WANG Nu1(1.Department of Information Science , Engineering,Sh,ong Normal University,Jinan 250014,China,2.Department of Management , Economics,China) |
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| Abstract: | The securities market has monotony of data(a large number of date does not need processed with special-method),characteristic of analyzing the means variety and disguise,and the technology of securities analysis has been developing so slowly that it can not be adapted to the high speed at which the securities market is going forward.The prediction question of the time array in system on the securities market has important theoretical and actual significance.People can analyze and predict the time array data... |
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| Keywords: | analysis method of time array ARMA GARCH |
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