MATLAB金融工具箱的应用实验报告.docx

MATLAB金融工具箱的应用实验报告 该数据选取的是TCL自2004年1月7日起至今的股票收盘价数 据： 1. 时间序列分析 x=xlsread(tcl); tcl(1,1) ans = 731979 tcl(1,2) ans = 8.3500 plot(tcl(:,1),tcl(:,2)); datetick(x,23); xlabel(Date); title(TCL Composite ); TCL Composhe □W1/2010Date01 □W1/2010 Date 01 心 /2D20 10 9 0 7 6 5 3 - 2 - I 01/01/2000 绘制收益率序列 Return=price2ret(tcl(:,2)); Time=tcl(:,1); t=Time(2:e nd); plot(t,Return); datetick(x,23); 自相关 autocorr(Return) title(ACF); 12 12 ACF8Q ACF 8 Q 6^2 匚.￡(E-aJ」oL￡*(b一□.Ettslrcl 偏自相关 parcorr(Return); title(PACF); 2 1 1 2 1 1 1 1 1 1 1 1 1 ■^0 2 4 6 8 10 12 14 16 18 20 Lag PACF 3 6^20 口 a □ □ cftuo稳一QJuclu3rl-let￡aj一 clw 弄 w AR模型 m=ar(Return,2) m = Discrete-time AR model: A(z)y(t) = e(t) A(z) = 1 - 0.03316 zA-1 + 0.01952 zA-2 Sample time: 1 sec onds Parameterizatio n: Polyno mial orders: n a=2 Number of free coefficie nts: 2 Use polydata, getpvec, getcov for parameters and their un certa in ties. Status: Estimated using AR (fb/now) on Return. Fit to estimation data: 0.08195% FPE: 0.000963, MSE: 0.0009614 ARMAg型 format long g for a=1:10 for c=1:10 m=armax(Return,na,a,nc,c); FPE(a,c)=fpe(m); FPE(a,c)=fpe(m); end end nmin=min(FPE(:)) [na,nc]=find(FPE==nmin) ormat long g for a=1:10 nmin = 0.000962185144313305 na = 1 nc = 1 结果分析：ARMA(1,1)为最合适的拟合模型