摘要
首先对股票收盘价序列进行经验模式分解(EMD),对分解后的本征模函数(IMF)与残差序列分别拟合ARMA-GARCH模型。将所建模型的预测结果相加,往后预测5 d的收盘价格,并与原始序列所建ARIMA-GARCH模型的预测结果进行比较。比较结果可以帮助股票投资者预测股票市场行情。
The stock closing price sequence is decomposed with the Empirical Mode Decomposition(EMD).Bothe the decomposed Intrinsic Mode Function(IMF)and residual sequence are fixed to ARMA-GARCH model.The prediction results of the model are put together first,then the closing prices in the following 5 days are predicted and compared with the output of the ARMA-GARCH model.Our prediction results may offer some references for the stock investor decision-making.
作者
马育欣
王纯杰
秦喜文
董小刚
MA Yuxin;WANG Chunjie;QIN Xiwen;DONG Xiaogang(School of Mathematics and Statistics,Changchun University of Technology,Changchun 130012,China)
出处
《长春工业大学学报》
CAS
2021年第1期7-10,共4页
Journal of Changchun University of Technology
基金
国家自然科学基金资助项目(11571051)。
