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Prediction Research on the Return Rate of CSI 300 index

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DOI: 10.23977/ieim.2019.21001 | Downloads: 22 | Views: 1772

Author(s)

Li Xinlei 1, Xin Shibo 1

Affiliation(s)

1 Beijing Technology and Business University, Beijing, China

Corresponding Author

Li Xinlei

ABSTRACT

CSI (China Securities Index) 300 index is an indicator reflecting the overall market situation of China's stock market. The accurate prediction of CSI 300 index's yield is of great significance for investment analysis. With the deepening of the academic research on the CSI 300 index forecast, how to analyze and describe stock volatility and stock future yield has become one of the hottest topics. Scholars have found that the GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model has good results in terms of financial yield volatility. Therefore, based on the GARCH model, this paper predicts the yield of CSI 300 index, and divides the collected data into two parts, one for the intra-sample prediction, the reasonable mean equation and the variance equation, and the other for the out-of-sample prediction. The GARCH(1, 1) model has been proven to be better for short-term forecasting of CSI 300 index yields.

KEYWORDS

GARCH model, CSI 300 index, return rate

CITE THIS PAPER

Li Xinlei, Xin Shibo, Prediction Research on the Return Rate of CSI 300 index. Industrial Engineering and Innovation Management (2019) 2: 1-6. DOI: http://dx.doi.org/10.23977/ieim.2019.21001.

REFERENCES

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