Izvorni znanstveni članak
ARIMA Modeling With Intervention to Forecast and Analyze Chinese Stock Prices
Jeffrey E Jarrett
; University of Rhode Island (USA)
Eric Kyper
; Lynchburg College (USA)
Sažetak
In this study, we demonstrate the usefulness of
ARIMA‐Intervention time series analysis as both an
analytical and forecast tool. The data base for this study is
from the PACAP‐CCER China Database developed by the
Pacific‐Basin Capital Markets (PACAP) Research Center at
the University of Rhode Island (USA) and the SINOFIN
Information Service Inc, affiliated with the China Center for
Economic Research (CCER) of Peking University (China).
These data are recent and not fully explored in any
published study. The forecasting analysis indicates the
usefulness of the developed model in explaining the rapid
decline in the values of the price index of Shanghai A shares
during the world economic debacle stating in China in 2008.
Explanation of the fit of the model is described using the
latest development in statistical validation methods. We note
that the use of a simpler technique although parsimonious
will not explain the variation properly in predicting daily
Chinese stock prices. Furthermore, we infer that the daily
stock price index contains an autoregressive component;
hence, one can predict stock returns
Ključne riječi
ARIMA; Intervention Analysis; Forecasting; Chinese Stock Prices
Hrčak ID:
71514
URI
Datum izdavanja:
15.8.2011.
Posjeta: 6.041 *