沪深两市传媒板块指数价格预测研究——基于ARIMA—GARCH模型的分析  

Shanghai and shenzhen two city medium plate prices index prediction research——based on analysis of ARIMA-GARCH model

作　　者：方燕[1] 耿雪洋 秦珊珊 

机构地区：[1]北京工商大学统计系

出　　处：《价格理论与实践》2018年第1期102-105,共4页Price:Theory & Practice

基　　金：北京市社科基金重点项目15JGA031;国家社科基金重大项目:17ZDA056;首都流通业研究基地,北京学者资助计划

摘　　要：本文首先分析近年来传媒产业的现状，其次研究传媒产业在资本市场上的发展，最后运用ARIMA—GARCH模型对传媒板块指数进行预测。研究结果显示：传媒板块指数短期内将会小幅下降。针对传媒行业上市公司的现状及股价模型，得出以下启示：传媒上市公司应注重风险的分散与控制；传媒上市公司注重融资方式的选择，优化资本结构；ARIMA-GARCH模型可扩展于股票价格呈“尖峰厚尾”分布特征的个股进行预测。firstly, this paper analyzes the current situation of media industry in recent years, then studies the development of media industry in capital market, and finally uses ARIMA - GARCH model to predict media index. The results show that the media index will de- crease slightly in the short term. In view of the current situation and stock price model of listed companies in the media industry, the following implication is drawn： media listed com- panies should focus on the diversification and control of risk; Media listed companies focus on financing options and optimize capital structure; The ARIMA-GARCH model can be extended to predict the stock price with ＂peak thick tail＂ distribution characteristics.

关 键 词：传媒板块 ARIMA模型 ARIMA-GARCH模型 指数价格预测 

分 类 号：F224[经济管理—国民经济] F832.51