Study On The Simulation And Prediction Of The CSI 300 Index Based On The GARCH Model

The development of China's stock market has been 27 years,the scale of the stock market constantly expanding,the investors and investment are also growing rapidly,but there are also appeared a lot of problems in the rapid development of the stock market,such as the dramatic ups and downs of the stock market speculation,the instability of market order,etc.These questions are worthy of our thought.In such background,this article selects the highly representative on the stock market of Shanghai and shenzhen 300 index of statistical analysis of time series is selected according to the characteristics of the sample time series statistical model for the empirical analysis,according to the results of our model combined with the current market development put forward some Suggestions and countermeasures.The CSI 300 index,came out in April 8,2005,was released by both the Shanghai and shenzhen stock exchange.It is able to describe the CSI two market as a whole market "barometer",or it can be reflected in selected sampled stocks of the relevant industry represented by the fluctuations of the market,it can help investors to grasp the totality of the Chinese stock market,form the overall judgment of the Chinese stock market,also can provide the basis for the implementation of the medium and long term investment strategy.This article is based on January 4,2012 to April 14,2017,the Shanghai and shenzhen 300 index closing data time series as samples,using the GARCH model and AUTOREG process,has carried on the fitting with SAS software,and the change trend of sequence on the CSI 300 index,earnings are analyzed and predicted.From the Angle of time series analysis were used to predict the CSI 300 index,good for investors to make effective strategy,and put forward policy Suggestions.In this paper,the first chapter mainly introduces the research background,the main contents and methods of research,the author's research results at home and abroad,as well as the innovation points and deficiencies of this article.The second chapter mainly introduces the paper used the GARCH model,and to the family of GARCH models were summarized.In addition to the empirical analysis of SAS software used in AUTOREG process made a simple description.The third chapter is the focus of this paper,the empirical analysis part,which use GARCH model to select the CSI 300 index sample days yield sequence for fitting.First for the pretreatment of the sample timing,secondly determine the order for the model,model parameter estimation,in the end is the validity of the test,the model and the model size are obtained.The fourth chapter,according to the laws of the CSI 300 index time series have found in China stock market development,in view of existing problems put forward policy Suggestions.The fifth chapter is the summary of papers.