上海黄金交易所的黄金价格的时间序列分析

发布时间：2018-03-29 00:26

本文选题：单位根检验　切入点：协整　出处：《华东师范大学》2014年硕士论文

【摘要】：本文运用协整检验对上海黄金交易所的每日黄金交易价格和四个潜在的影响因素之间的关系进行了分析,继而建立了预测模型,并且利用两个月的样本外数据进行了预测效果检验。本文内容涵盖以下几个方面：一、对在2003年1月2日至2013年12月31日间的上海黄金交易所的每日黄金交易价格(对数)以及四个潜在的影响因素：美国联邦基金利率、美国国债十年期的收益率、美元指数(对数)和美元兑人民币中间价(对数)进行单位根检验,以确认协整检验的基础。二、建立均衡方程,并且对模型回归的残差进行单位根检验,确立上海黄金交易所的每日黄金交易价格(对数)和各个因素间存在协整关系。三、对影响因素进行筛选,建立预测模型,并且利用样本外数据检验模型的预测效果。
[Abstract]:In this paper, the cointegration test is used to analyze the relationship between the daily gold trading price of Shanghai Gold Exchange and four potential influencing factors, and then a prediction model is established. Moreover, the prediction effect was tested by two months' data outside the sample. This article covers the following areas:. First, the daily gold trading price (logarithm) of the Shanghai Gold Exchange between January 2, 2003 and December 31, 2013, and four potential factors: the United States federal funds rate, the 10-year Treasury yield, The dollar index (logarithm) and the dollar-renminbi pedestal (logarithm) were tested in unit root to confirm the basis of the cointegration test. Secondly, the equilibrium equation is established, and the unit root test is carried out to determine the daily gold trading price (logarithm) of Shanghai Gold Exchange and the cointegration relationship between various factors. Thirdly, the influence factors are screened, the prediction model is established, and the prediction effect of the model is tested by using the data outside the sample.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.54;O211.61

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