以COVID-19感染率作为外源变量预测股票指数
Mohammad Saha A Patwary1, Kumer Pial Das2
1Mathematical Sciences, Butler University, Indianapolis, IN, United States of America.
PeerJ. Computer science
|September 14, 2023
概括
预测股票市场指数,如标准普尔500指数和VIX指数是可行的,使用参数模型. 最好的预测MSCI指数是使用一个天真的随机步行方法,特别是在COVID-19大流行期间.
科学领域:
- 量化金融 量化金融
- 计量经济学 计量经济学 计量经济学
- 时间序列分析时间序列分析
背景情况:
- 股票市场预测是复杂的,因为价格动态是非线性的,非静止的.
- 由于COVID-19大流行引入了显著的波动,使预测准确性复杂化.
- 确诊的COVID-19病例成为影响股价指数的关键共变量.
研究的目的:
- 通过时间序列分析,预测COVID-19大流行期间波动的股票市场指数.
- 确定与COVID-19感染率相关的最佳预测方法.
- 分析共变量对主要股票指数的影响:标普500指数,MSCI世界指数和CBOE波动性指数 (VIX).
主要方法:
- 时间序列分析技术的应用.
- 包括COVID-19确诊病例作为一个共同变量.
- 评估参数模型和随机步行模型用于预测.
主要成果:
- 参数方法在预测标准普尔500指数和VIX指数方面被证明是有效的.
- 随机步行模型适用于预测MSCI世界股票指数.
- 在随机步行方法中,天真的方法为MSCI指数提供了最好的预测.
结论:
- 特定的时间序列模型是有效的预测主要股票指数在疫情引起的波动.
- 预测模型的选择取决于具体的指数和市场状况.
- COVID-19感染率显著影响股票市场行为,需要将其纳入预测模型.
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