摘要
在马尔科夫转换模型和GARCH模型的基础上,建立了综合以上两种模型优点的基于相关系数的变权组合预测模型,并对沪铜期货价格进行了实证研究.实证研究结果表明:基于相关系数的变权组合预测模型的预测精度明显高于各个单模型的预测精度.
The variable weights combination forecast model based on the correlation coeffi- cient is established based on the Markov switching model and GARCH model, which made a comprehensive use of aboved two kinds of model＇s advantages. And made empirical research on the Shanghai copper futures prices. The empirical results showed that the precision of pre- diction which based on the correlation coefficient of variable weights combination forecast model was significantly higher than the prediction accuracy of every single model.
出处
《陕西科技大学学报（自然科学版）》
2013年第3期167-170,共4页
Journal of Shaanxi University of Science & Technology
关键词
相关系数
变权组合预测模型
期货
correlation coefficient variable weights combination forecast model futures
