主管:中国科学院
主办:中国优选法统筹法与经济数学研究会
   中国科学院科技战略咨询研究院

Chinese Journal of Management Science ›› 1998, Vol. ›› Issue (1): 10-15.

Previous Articles     Next Articles

A Univariate ARIMA Model with Outlier Analysis Applied in Stock Market

Cao Yunjian   

  1. College of Commerce, USST, Shanghai
  • Received:1997-11-10 Online:1998-03-28 Published:2012-03-06

Abstract: By the comparison with several economic forecasting methods,this paper adopts univariate ARIMA model and outlier analysis on some economic data,such as stock price,which is effected easily by outside factors and cannot be analyzed by multivariate model. The positive analysis represents its good performance.

Key words: Time series, forecast, univariate ARIMA, outlier analysis, stock price