Stock Return Analysis Based on ARMA (2,2) Model

doi:10.1007/978-3-030-99616-1_28

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	Stock Return Analysis Based on ARMA (2,2) Model
	Yan, Haorui
刊名	Lecture Notes on Data Engineering and Communications Technologies
	2022
卷号	129 页码:213-219
关键词	Investments ARMA (2,2) Economy security Investment returns Logarithmic rates Rate of return Research object Stock returns Stocks yields Time-periods "hushen 300"
ISSN号	2367-4512
DOI	10.1007/978-3-030-99616-1_28
英文摘要	With the rapid development of China’s economy, securities, stocks and other financial markets show a thriving trend. In the process of securities and stock investment, investors are more concerned about the investment return of stocks or securities. This paper selects the closing price of CSI 300 from January 5, 2015 to April 2, 2021 as the research object. Through the ARMA (2,2) model, the logarithmic rate of return of CSI 300 in this time period is fitted, and the rate of return series is predicted from two different angles outside the sample and inside the sample. The results show that there is a large difference between the predicted results and the actual results by using ARMA model alone, and the model needs to be optimized from other aspects to achieve the purpose of accurate prediction. © 2022, The Author(s), under exclusive license to Springer Nature Switzerland AG.
语种	英语
出版者	Springer Science and Business Media Deutschland GmbH
内容类型	期刊论文
源URL	[http://ir.lut.edu.cn/handle/2XXMBERH/158435]
专题	兰州理工大学
作者单位	Lanzhou University of Technology, Gansu Province, Lanzhou; 730000, China
推荐引用方式 GB/T 7714	Yan, Haorui. Stock Return Analysis Based on ARMA (2,2) Model[J]. Lecture Notes on Data Engineering and Communications Technologies,2022,129:213-219.
APA	Yan, Haorui.(2022).Stock Return Analysis Based on ARMA (2,2) Model.Lecture Notes on Data Engineering and Communications Technologies,129,213-219.
MLA	Yan, Haorui."Stock Return Analysis Based on ARMA (2,2) Model".Lecture Notes on Data Engineering and Communications Technologies 129(2022):213-219.