基于ARIMA模型对我国外汇储备余额的预测分析  

Prediction and analysis of China's foreign exchange reservesbalance based on time series

作　　者：朱家明[1] 陈妍群 金静[3] ZHU Jia-ming;CHEN Yan-qun;JIN Jing(School of Statistics and Applied Mathematics,Anhui University of Finance and Economics,Bengbu 233030,China;School of Finance,Anhui University of Finance and Economics,Bengbu 233030,China;School of Accounting,Anhui University of Finance and Economics,Bengbu 233030,China)

机构地区：[1]安徽财经大学统计与应用数学学院,安徽蚌埠233030 [2]安徽财经大学金融学院,安徽蚌埠233030 [3]安徽财经大学会计学院,安徽蚌埠233030

出　　处：《长沙理工大学学报（自然科学版）》2020年第1期92-97,共6页Journal of Changsha University of Science and Technology:Natural Science

基　　金：教育部人文社会科学研究项目(19YJCZH069);安徽省教研项目(2018jyxm1305)。

摘　　要：选取我国1965~2018年外汇储备数据进行分析,预测我国外汇储备规模的变化趋势。首先,对时间序列数据进行平稳性检验和白噪声检验,通过二阶差分消除长期趋势的影响。其次,根据序列相关图和自相关系数识别拟合AR(2)模型。再次,对AR(2)模型和参数分别进行显著性检验,重新拟合零均值的AR(2)模型。最后,对我国外汇储备规模进行预测。结果表明:未来5年我国外汇储备余额将保持持续下降的趋势。This paper analyzed the data of China's foreign exchange reserves from 1965 to 2018 to predict the tendency of China's foreign exchange reserves.Firstly,the stationary test and white noise test were carried out for time series data,and the influence of long-term trend was eliminated by second-order difference.Secondly,AR(2)model was identified and fitted according to sequence correlation graph and autocorrelation coefficient.Thirdly,the significance test was conducted for AR(2)model and its parameters respectively,and the Zero mean AR(2)model was fitted again.Finally,the paper forecasted the scale of China's foreign exchange reserves.The results show that the balance of China's f oreign exchange reserves will continue to decline in the next five years.

关 键 词：ARIMA模型 时间序列 外汇储备 余额预测 R语言 

分 类 号：F832.6[经济管理—金融学]