基于ARMA-GARCH模型的中证绿色债券指数预测  

Prediction of China Securities Green Bond Index Based on ARMA-GARCH Model

作　　者：徐智琦 XU Zhiqi(School of Economics and Management,Yunnan Normal University,Kunming 650000,China)

机构地区：[1]云南师范大学经济与管理学院,云南昆明650000

出　　处：《商业观察》2024年第17期72-75,82,共5页BUSINESS OBSERVATION

摘　　要：文章选取了中证绿色债券指数2018年11月1日至2023年12月29日的日收盘价,通过Eviews10.0建立ARMA-GARCH模型预测其时间序列变化趋势并得出相应的结论,其实证结果表明:ARMA-GARCH模型可以有效地应用于绿色债券市场预测未来走势,其中静态预测结果优于动态预测,未来一定时间内绿色债券指数收盘价总体呈现向上增长趋势。这对投资者降低投资风险、挖掘投资机遇具有重要意义,便于投资者更好地制定投资策略,控制风险,进而获得更高的收益。In this paper,the daily closing price of China Securities Green Bond Index from November 1,2018 to December 29,2023 is selected,and the ARMA-GARCH model is established by Eviews10.0 to predict the change trend of its time series,and corresponding conclusions are drawn.The empirical results are as follows.The ARMA-GARCH model can be effectively applied to predict the future trend of the green bond market,in which the static prediction results are better than the dynamic prediction,and the closing price of the green bond index generally shows an upward trend in the future.This is of great significance for investors to reduce investment risks and explore investment opportunities,so that investors can better formulate investment strategies,control risks and obtain higher returns.

关 键 词：绿色债券 ARMA-GARCH模型 时间序列模型 绿色债券指数 

分 类 号：F832[经济管理—金融学]