時(shí)間序列分析作業(yè).doc

1、時(shí)間序列分析作業(yè)1、數(shù)據(jù)收集通過(guò)長(zhǎng)江證券金長(zhǎng)江網(wǎng)上交易軟件收集中信證券(600030)股價(jià)數(shù)據(jù)(2010-7-12011-5-9 ,共200組)，保存文件，命名為“股價(jià)數(shù)據(jù)”。2、工作表建立打開(kāi)eviews,點(diǎn)擊file下拉菜單中的new項(xiàng)選擇workfile項(xiàng)，彈出窗口如下：lockfile 5trLiciure tvpeDated * regular frequencyDate specificationIrregular Dated and Panel workfiles rnav be made from UnstHJCtured wcrkfiles by later speafyin

2、g date and/or other 啟舸時(shí)岀senes.Frequency; Integer date 丁5tor1 date: 1Endite:測(cè)Cartel(1) 、在 datespecification 中選擇 integer date。(2) 、在start和end中分別輸入“ 1” “200”(3) 、在wf項(xiàng)后面的框中輸入工作表名稱hr，點(diǎn)擊ok。 窗口如下：To rtflie Create3、數(shù)據(jù)導(dǎo)入在hr工作文件的菜單選項(xiàng)中選擇pro，在彈出的下拉菜單中選擇import，然后再下拉級(jí)菜單中選擇read text-lotus-excell，找到數(shù)據(jù)，雙擊彈出如下對(duì)話框：Exc

3、el Spreadsheet laportDqH order燈 By Observation series in colurm& Ey Series - series in rg-sUppers ft d=1a cell|日旨EmcsI 5十 shset nameImport MrrpleTiOOReset sample to：I 匚unTrHsaEplEWorkfile range| To 畠nd oi ranae廠 Write dae/obe廠 E7i1JI10 5620P9b2137.870.000120.S20-0.069360 570 000|130.S76*0.053518.050

4、 0001匚10.B26-0.10365S 590.0001150.7770.003733700.000匚1607174).176890.900 0001匸110.652-0.10797970.0Q01匚130.5SO-0JQ91050.60.000II|90.5160.0741106.90.00011100.4560.0251151-20.000|1110.393-0.0671164.30 000111120.331-0-0461207.80 000111130 267-0.0231223.20.000|1140.2100.0201232.80.0001|150.1620.0691238.5

5、0 0001匚1160.113-0.0991241.30.000|1170.C64-0.0491242.20 000II1180.01S0.007124230 00011119-0.C220.032124240 000|120-0.050-0.0731243.20.000序列的自相關(guān)系數(shù)沒(méi)有很快的趨近0,說(shuō)明原序列是非平穩(wěn)的序列。5、對(duì)原序列做對(duì)數(shù)差分處理A、在主窗口輸入smpl 2 200，對(duì)樣本數(shù)據(jù)進(jìn)行選取,B、 在主命令窗口輸入series is=log(s)-log(s(-1)可以得到新的序列is對(duì)is序列做同上的平穩(wěn)性檢驗(yàn)可以得到如下圖： Series: ISorkf ile: HE

6、: :Unt itledZS|fX眼認(rèn) I Pf oc | U bject | Proper ties | PrintFf盟斑 | Sarripte | Genr 152武| 石raph| Stats | klent|Correlogram of ISDate： 10d9/11 Time： 06:42Sample: 2 2C0Included cbservatioru: 199toco rre I abort Partial Correlatic n AC PAC Q-Stat ProcII1 0.C35 0,085 1.4G93 0 225II II1 2 0C36 0.029 1.7J94

7、 0,419I|I3 0.092 0.087 34700 0 325|I14 0.CD5 *0.011 3 4753 0 482II5 0.14S 0.147 3.0705 0.152:iI|6 0.112 0.084 10.701 0 099I|I|7 D.C98 0.071 12 323 0 0G0匸I匚18111 0.159 14 901 0.061|I|19 -0.C53 -0.06d 15.73B 0.073III110 O.C07 -0.013 15.749 0107III111 0.C03 0.005 15.751 0.161III112 0.021 -0.004 15.S4S

8、0.198|(I|113 7.053-6035 15.449 0225匚IC1U -0.152 0113 21 440 0.091I111?15 0.029 0.090 21.623 0118|I11*16 0.023 0,027 21.7+2 0J52I117 -0.C4S -0.052 22.250 0.175|I|118 -0.C75 -0.090 23.W 0.173III19 -0.C02 0,059 23.490 0216匚I1匸120 -J.131 -0.111 27 344 0,12S可以看出，自相關(guān)系數(shù)和偏相關(guān)系數(shù)很快的接近于0,故該序列是平穩(wěn)的。根據(jù)上圖，初步將模型的階數(shù)擬

9、定為p=5, q=5。6、不同的階數(shù)（p，q ）對(duì)應(yīng)的統(tǒng)計(jì)表對(duì)is序列建立ARMA模型，其各個(gè)不同的 p、q下的估計(jì)結(jié)果整理成表格的形式，不 要只是截圖放在上面；表格中須包含估計(jì)系數(shù)、標(biāo)準(zhǔn)差、t統(tǒng)計(jì)量值及p值、調(diào)整后的可決系數(shù)及AIC、SC等統(tǒng)計(jì)表如下表：（P，q）估計(jì) 系數(shù)標(biāo)準(zhǔn)差t統(tǒng)計(jì)量p值調(diào)整可決系數(shù)AICSC（1,1）AR(1)-0.82500.1163-7.09290.00000.0178-4.4604-4.4271MA(1)0.91160.086810.50180.0000(1,2)AR(1)-0.84010.1363-6.16360.00000.0133-4.4508-4.4009

10、MA(1)0.94270.15456.10220.0000MA(2)0.02360.08620.27330.7849(1,3)AR(1)-0.76470.1686-4.53650.00000.0163-4.4489-4.3825MA(1)0.86890.17904.85410.0000MA(2)0.08740.09620.90920.3644MA(3)0.09910.08071.22900.2206(1,4)AR(1)-0.75780.2163-3.50300.00060.0112-4.4388-4.3558MA(1)0.86200.22763.78760.0002MA(2)0.08720.0

11、9860.88520.3772MA(3)0.09730.09491.02580.3063MA(4)-0.00500.0923-0.05370.9573(1,5)AR(1)0.48810.26061.87320.06260.0286-4.4516-4.3520MA(1)-0.42520.2582-1.64670.1013MA(2)-0.02660.0784-0.33940.7347MA(3)0.13160.07701.70870.0891MA(4)-0.08430.0838-1.00550.3159MA(5)0.20210.07452.71290.0073(2,1)AR(1)0.81160.32

12、432.50240.01320.0076-4.4416-4.3916AR(2)0.00540.09450.05730.9544MA(1)-0.73880.3157-2.34000.0203(2,2)AR(1)-0.02950.2814-0.10490.91660.0190-4.4481-4.3815AR(2)0.70620.21003.36300.0009MA(1)0.16160.29840.54150.5888MA(2)-0.70420.2524-2.78990.0058(2,3)AR(1)-0.01150.2478-0.04640.96300.0184-4.4426-4.3592AR(2)

13、0.64250.23912.68660.0079MA(1)0.10250.25410.40340.6871MA(2)-0.64240.2643-2.43030.0160MA(3)0.07930.09100.87210.3843(2,4)AR(1)-0.03800.3481-0.10900.91330.0135-4.4327-4.3327AR(2)0.64590.23382.76300.0063MA(1)0.12590.35480.35470.7232MA(2)-0.65480.2541-2.57730.0107MA(3)0.08360.09010.92860.3543MA(4)0.02500.

14、10890.22980.8185(2,5)AR(1)0.04630.29670.15590.87630.0200-4.4344-4.3177AR(2)0.39050.28981.34740.1795MA(1)0.02660.29600.08970.9286MA(2)-0.40500.2886-1.40310.1622MA(3)0.08920.08081.10320.2713MA(4)0.01740.09490.18340.8547MA(5)0.14430.09311.55000.1228(3,1)AR(1)0.71260.35472.00880.04600.0072-4.4325-4.3656

15、AR(2)-0.03330.0923-0.36110.7184AR(3)0.07290.08380.87020.3853MA(1)-0.63880.3519-1.81550.0710(3,2)AR(1)-0.12310.3087-0.39870.69060.0169-4.4374-4.3537AR(2)0.63920.25382.51890.0126AR(3)0.07670.09020.85020.3963MA(1)0.21630.30480.70960.4788MA(2)-0.62420.2970-2.10190.0369(3,3)AR(1)0.04640.19790.23450.81490

16、.0686-4.4865-4.3861AR(2)-0.36310.1473-2.46590.0146AR(3)0.76300.18814.05570.0001MA(1)0.03680.23220.15840.8743MA(2)0.48020.17062.81410.0054MA(3)-0.69520.2313-3.00600.0030(3,4)AR(1)0.06160.25590.24060.81010.0647-4.4774-4.3603AR(2)-0.35050.1931-1.81540.0711AR(3)0.77830.24523.17350.0018MA(1)0.04600.26800

17、.17170.8639MA(2)0.45160.25231.78970.0751MA(3)-0.71200.3032-2.34800.0199MA(4)-0.03590.0939-0.38210.7028(3,5)AR(1)0.53550.32201.66320.09790.0275-4.4335-4.2997AR(2)0.29730.29271.01560.3111AR(3)-0.35900.2751-1.30480.1936MA(1)-0.46400.3209-1.44610.1498MA(2)-0.33420.2878-1.16100.2471MA(3)0.44770.27211.645

18、30.1016MA(4)-0.04830.1042-0.46360.6435MA(5)0.16750.09721.72350.0864(4,1)AR(1)-0.79740.1359-5.86910.00000.0104-4.4264-4.3424AR(2)0.09550.09281.02900.3048AR(3)0.11080.09231.19980.2317AR(4)0.01930.08150.23640.8134MA(1)0.89970.11387.90950.0000(4,2)AR(1)-0.13070.4714-0.27710.78200.0119-4.4228-4.3221AR(2)

19、0.63360.34901.81580.0710AR(3)0.07790.10040.77600.4387AR(4)0.00050.11440.00480.9962MA(1)0.22320.46620.47870.6327MA(2)-0.61750.3849-1.60450.1103(4,3)AR(1)0.12470.40910.30470.76090.0643-4.4725-4.3550AR(2)-0.36750.2106-1.74550.0825AR(3)0.79070.31952.47510.0142AR(4)-0.04540.1084-0.41860.6760MA(1)-0.01030

20、.4080-0.02510.9800MA(2)0.46360.28171.64540.1016MA(3)-0.73040.4010-1.82170.0701(4,4)AR0.85640.039021.95370.00000.0597-4.4626-4.3283AR(2)0.11590.05562.08340.0386AR(3)0.72370.055013.16360.0000AR(4)-0.85540.0379-22.56080.0000MA(1)-0.79070.0187-42.20670.0000MA(2)-0.16940.0303-5.59210.0000MA(3)-0.78950.02

21、22-35.61740.0000MA(4)0.96070.013770.15110.0000(4,5)AR(1)0.94320.53371.76710.07880.0439-4.4411-4.2900AR(2)0.38950.53920.72240.4710AR(3)-0.74350.3108-2.39220.0177AR(4)0.05190.39000.13300.8943MA(1)-0.88870.5364-1.65670.0993MA(2)-0.46360.5164-0.89780.3705MA(3)0.86330.34412.50890.0130MA(4)-0.09690.4762-0

22、.20360.8389MA(5)0.07260.09260.78420.4339(5,1)AR(1)0.42420.37881.11970.26430.0178-4.4247-4.3236AR(2)-0.02100.0836-0.25120.8020AR(3)0.07600.07840.96980.3334AR(4)-0.05270.0839-0.62780.5309AR(5)0.16210.07512.15940.0321MA(1)-0.34770.3829-0.90820.3649(5,2)AR(1)0.73180.12895.67900.00000.0448-4.4476-4.3297A

23、R(2)-0.80800.1416-5.70470.0000AR(3)0.13570.10641.27570.2036AR(4)-0.09550.0927-1.03010.3043AR(5)0.21330.07562.82190.0053MA(1)-0.66030.1161-5.68890.0000MA(2)0.81080.11567.01370.0000(5,3)AR(1)0.43100.20772.07570.03930.0367-4.4343-4.2995AR(2)0.31190.20061.55480.1217AR(3)-0.57470.1925-2.98570.0032AR(4)0.

24、01140.08980.12740.8988AR(5)0.16190.08431.91920.0565MA(1)-0.35350.2009-1.75950.0801MA(2)-0.34580.1898-1.82160.0701MA(3)0.64930.17753.65870.0003(5,4)AR(1)0.94240.59831.57510.11690.0453-4.4383-4.2867AR(2)0.46280.57500.80500.4219AR(3)-0.80870.3199-2.52760.0123AR(4)0.02450.44610.05500.9562AR(5)0.04820.07

25、680.62740.5312MA(1)-0.88880.6022-1.47600.1416MA(2)-0.54540.5417-1.00670.3154MA(3)0.93310.36372.56570.0111MA(4)-0.05220.5335-0.09780.9222(5,5)AR(1)-0.22070.2478-0.89050.37430.2329-4.6521-4.4837AR(2)0.52460.16573.16540.0018最小AR(3)0.58040.033817.17520.0000AR(4)-0.33970.1408-2.41170.0169AR(5)-0.66020.20

26、57-3.20880.0016MA(1)0.35620.23001.54850.1232MA(2)-0.44500.1299-3.42640.0008MA(3)-0.76210.0645-11.82080.0000MA(4)0.42900.17112.50670.0131MA(5)0.97690.24883.92710.00017、IAR、IMA 判別從上表可以看出，對(duì)應(yīng)的 p=5 , q=5時(shí)，AIC的值最小。且從回歸輸出可以看出此時(shí)對(duì)應(yīng)的IAR為虛根，其模為0.939V 1, IMA為虛根，其模為0.993V 1，滿足題意。故IS=0+AR=-0.220663319179,AR(2)=0.

27、524648611464,AR(3)=0.580391980871,AR(4)=-0.339657902652,AR(5)=-0.660162055075,MA=0.356239746585,MA(2)=-0.444974944734,MA(3)=-0.762099158189,MA (4)=0.42899673081,MA(5)=0.9768799420918、對(duì)模型的檢驗(yàn)操作方法：對(duì)于7中所得窗口，分別點(diǎn)擊點(diǎn)擊 view下拉二級(jí)菜單的residual test下拉的三級(jí)菜單 correlogram-q-statistics 禾口 correlogram-squared residuals，

28、中間的 lags to in elude 選擇 20 (200/10)，即可得到自相關(guān)檢驗(yàn)結(jié)果。三級(jí)菜單中選擇 histogram-normality test即可得到殘差正態(tài)檢驗(yàn)結(jié)果。(1)、自相關(guān)性檢驗(yàn)對(duì)7中方程的殘差進(jìn)行自相關(guān)圖檢驗(yàn)可得:叵Equation: UWTITLEDlorhfile: HR:Untitled回XV eA1ProcObject Print Nanrtc Freeze Estimate | Forecast Stats ResidsCorrelog日m of ResidualsDate; 1W19M1 Tme; 0955Sample; 7 2C0Included o

29、bservations: 194Stic proBabilities adjusted for 50 ARMA term(s)Autocorrelation Partial Correlation AC PAC O-Stat ProbI11 0.057 0.067 0.880II1112 0035 D.031 1.1356I1(13 -0.025 -0.030 12632IIIl14 -Q.052 -0.050 1.304515 ft.052 0.061 2.3530III1I6 0034 0.030 2.5394I)1I70,041 3.127JEIc18 -0.117 -D.127 5.9

30、19011I1(1g -0.047 *0.027 6.3634Il11110 Q.066 D.0S6 7.2656Il1l11 0.06S 0.060 8.2296 0.004Il11 12 0.073 O.03S 9.3407 0.009II11113 -0006 -D.013 9.3494 0.025cIc114 -0.134 0124 13.145 0 011II1l15 0.019 D.055 13.221 D.D21II1116 -0.003 -0.009 13.223 0.0400Ic117 -0,033 -0.124 14707 0.0401118 -0.099 -0.100 1

31、6.&40 0.032I1119 -0.D1& 0.033 16.510 0 050c1cf-20 -0J25 -0.106 20.317 0,026顯然，殘差本身沒(méi)有自相關(guān)性。對(duì)7中方程的殘差的平方進(jìn)行自相關(guān)性檢驗(yàn)可得:H.Equation: UWTITLED lorhf ile: HR: :Untitled 匚View Proc Object Print Nanrie Freeze Estimate Forecast I Stats ResidsCorrelogram of Residuals SquaredDate： 10/19/11 Time- OS：6&Sample: 12C0ind

32、uded obseivations: 194Q-statiStic probabilities adjusted for 10 ARMA term(s)AC PC O-Stat Prob-.toco rr el at onPart a I Correlationn TJ1 HI -I I H III I 口 IIII pl id |Q 1DQ58O.OSB0.55182-0.0060,0090.5592300590.0611.361840.1540.U96.09405-0.029-0.0456.259660 0150 01963043700490 0316.8011800500.0307.53

33、899-0025-D.0217.6673100.20 斗0.20416.253110.0400.00016.5750.000120.011M0516.6050.00013-0.C95-0 11218.6000 00014a 1600.11923.914o oao15*0030*0.05324.1070 DOD1600780.1 OS25.4090 DOD17-0053-0.07726.0200 DOO180.0250 01S26.1510,00119-0 109-D.11628.7160 DQ12Q-0005D.03&28 722D 001顯然，殘差平方也不具有相關(guān)性。(2)正態(tài)性檢驗(yàn)從檢驗(yàn)結(jié)

34、果來(lái)看，殘差具有正態(tài)性。 綜上知：模型通過(guò)檢驗(yàn)。9、模型預(yù)測(cè)點(diǎn)擊workfile中下拉菜單 proc對(duì)應(yīng)的下拉菜單 structure選項(xiàng)，將end date擴(kuò)展至220, 點(diǎn)擊ok。(1)、靜態(tài)預(yù)測(cè)建立p=5， q=5的arma模型，點(diǎn)擊模型中的 forecast， method下面選擇 static forecast， S.E( optional)后面命名為f1，forecast sample下面填寫190 201，其他選擇默認(rèn)，點(diǎn)擊 ok 即可得到下圖：(2)、動(dòng)態(tài)預(yù)測(cè)建立 p=5 ,q=5的 arma模型，點(diǎn)擊模型中的 forecast, method下面選擇 dynamic fore

35、cast, S.E (optional)后面命名為f2 , forecast sample下面填寫201 220，其他選擇默認(rèn)，點(diǎn)擊 ok 即可得到下圖： Equation: UMTITLEDTorkfil(s: UK: :Unli-tled 匚AView | Proc | Object| Prrit| Manne | Freyre | EstimateForecast Stats |Resics10、附錄股價(jià)數(shù)據(jù)：中信證券(600030)單位(元)時(shí)間 收盤2010-7-111.412010-7-211.592010-7-511.422010-7-611.592010-7-711.72201

36、0-7-811.582010-7-911.852010-7-1212.072010-7-1311.772010-7-1411.862010-7-1511.512010-7-1611.452010-7-1911.752010-7-2012.062010-7-2112.082010-7-2212.22010-7-2312.482010-7-2612.42010-7-2712.362010-7-2812.772010-7-2912.962010-7-3012.822010-8-213.022010-8-312.982010-8-4132010-8-512.742010-8-613.022010-8-

37、913.012010-8-1012.472010-8-1112.442010-8-1212.132010-8-1312.222010-8-1612.692010-8-1712.692010-8-1812.572010-8-1912.692010-8-2012.292010-8-2312.222010-8-2412.242010-8-2511.912010-8-2611.832010-8-2711.772010-8-3011.922010-8-3111.722010-9-111.572010-9-211.572010-9-311.462010-9-611.962010-9-711.912010-

38、9-811.742010-9-911.592010-9-1011.452010-9-1311.512010-9-1411.442010-9-1511.212010-9-1611.242010-9-1711.132010-9-2010.932010-9-2110.922010-9-2710.942010-9-2810.632010-9-2910.522010-9-3010.642010-10-811.292010-10-1112.422010-10-1212.932010-10-1312.842010-10-1413.652010-10-1514.962010-10-1815.232010-10

39、-1915.482010-10-2015.992010-10-2115.482010-10-2215.042010-10-2516.532010-10-2616.672010-10-2716.232010-10-2816.32010-10-2915.512010-11-115.932010-11-215.982010-11-315.872010-11-416.122010-11-516.262010-11-816.292010-11-915.922010-11-1015.472010-11-1115.642010-11-1214.192010-11-1514.042010-11-1613.452010-11-1713.12010-11-1813.212010-11-1913.212010-11-2212.972010-11-2312.512010-11-2413.252010-11-2513.42010-11-2613.362010-11-2913.182010-11-3012.822010-12-112.852010-12-213.152010-12-313.162010