数据为股票的收益率,为下列数字:
0.005731807
-0.001109208
0.000468482
-0.005140637
0.001559812
0.000469942
0.00039557
-0.002078488
0.000866562
0.000569046
-0.001906342
0
-0.002729666
0
0.002035548
-0.000868325
0.000744325
0.003317902
-0.001509024
-0.000520027
0.000272429
-4.95E-05
4.95E-05
-0.001610885
-4.96E-05
-0.000471388
0.000396973
0.000421611
-0.000247985
0.000471119
-0.00057033
0.000223212
-0.000818686
-0.000645498
0.000943279
-0.000297782
0.000818686
-0.000297626
0.000297626
0.000223162
-0.000917761
0.000124071
0.00079369
0.000470956
-0.000223057
利用matlab中ARIMA和ESTIMATE函数构造ARIMA(2,0,1)模型,系数如下:其中constant代表什么?
ARIMA(2,0,1) Model:
--------------------
Conditional Probability Distribution: Gaussian
Standard t
Parameter Value Error Statistic
----------- ----------- ------------ -----------
Constant -4.63912e-06 0.000301491 -0.0153872
AR{1} -0.474955 0.162136 -2.92937
AR{2} 0.219548 0.162411 1.35181
MA{1} 0.206515 0.249437 0.827923
Variance 2.16804e-06 1.05713e-06 2.05088
为何和eviews预测结果不一样?
Dependent Variable: SERIES01
Method: Least Squares
Date: 10/31/14 Time: 21:58
Sample (adjusted): 3 45
Included observations: 43 after adjustments
Convergence achieved after 12 iterations
MA Backcast: 2
Variable Coefficient Std. Error t-Statistic Prob.
AR(1) 0.534648 0.149625 3.573255 0.0009
AR(2) 0.120683 0.133158 0.906308 0.3702
MA(1) -0.999681 0.030206 -33.09520 0.0000
R-squared 0.288671 Mean dependent var -0.000117
Adjusted R-squared 0.253105 S.D. dependent var 0.001318
S.E. of regression 0.001139 Akaike info criterion -10.64984
Sum squared resid 5.19E-05 Schwarz criterion -10.52697
Log likelihood 231.9716 Hannan-Quinn criter. -10.60453
Durbin-Watson stat 2.190904
Inverted AR Roots .71 -.17
Inverted MA Roots 1.00
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