基于EMD-GARCH的余额宝收益率预测研究
发布时间：2018-10-31 14:47
【摘要】：研究了余额宝收益率的主要影响因素并对其进行了预测。首先用EMD方法将余额宝收益率原始数据分解重组,再分别建立预测模型。结果表明:(1)余额宝收益率是由国内市场资金面决定的长期趋势、金融行业重大事件带来的低频振动,以及正常市场波动导致的高频振动三方面构成的;(2)EMD-GARCH预测效果比GARCH模型好。
[Abstract]:The main influencing factors of Yu'e Bao's rate of return are studied and forecasted. First, the original data of Yu'e Bao rate is decomposed and recombined by EMD method, and then the prediction model is established. The results show that: (1) the yield of Yu'e Bao is a long-term trend determined by the domestic market capital level, the low frequency vibration caused by the major events in the financial industry, and the high frequency vibration caused by the normal market fluctuation; (2) the prediction effect of EMD-GARCH is better than that of GARCH model.
【作者单位】： 东南大学经济管理学院;江西财经大学信息管理学院;
【基金】：国家自然科学基金资助项目(71071034)
【分类号】：F724.6;F832.2;F224
[Abstract]:The main influencing factors of Yu'e Bao's rate of return are studied and forecasted. First, the original data of Yu'e Bao rate is decomposed and recombined by EMD method, and then the prediction model is established. The results show that: (1) the yield of Yu'e Bao is a long-term trend determined by the domestic market capital level, the low frequency vibration caused by the major events in the financial industry, and the high frequency vibration caused by the normal market fluctuation; (2) the prediction effect of EMD-GARCH is better than that of GARCH model.
【作者单位】： 东南大学经济管理学院;江西财经大学信息管理学院;
【基金】：国家自然科学基金资助项目(71071034)
【分类号】：F724.6;F832.2;F224
【参考文献】
相关期刊论文 前2条
1 李祥飞;张再生;黄超;高杨;;基于EMD与STSA混合方法的金融收益信息提取与预测[J];系统工程;2014年02期
2 王崇志;;“余额宝”的经济学思考[J];经济研究导刊;2013年32期
【共引文献】
相关期刊论文 前10条
1 张亚明;武艺欢;;金融创新产品余额宝——优势与风险[J];电子商务;2014年07期
2 杨s，
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