浦發(fā)銀行時(shí)間序列分析

1、浦發(fā)銀行收益率月度數(shù)據(jù)月收益率1.ADF單位根檢驗(yàn)，判斷平穩(wěn)性EVIEWS分析結(jié)果：Null Hypothesis: SER01 has a unit rootExogenous: ConstantLag Length: 0 (Automatic based on SIC, MAKLAG= 10)t-StatisticProb.*Augmented Dickey-Fuller test statistic-6.3130760.0000Test critical values:1 % level 5% level-3.571310 -2.92244910% level-2.599224*MacK

2、innon (1996) one-sided p-vaiues.Augmented Dickey-Fuller Test EquationDependent Variable: D(SER01)Method: Least SquaresDate; 05/04/1 4 Time; 19:24Sample (adjusted): 201OMOI2 2014M02Included observations: 49 after adjustmentsVariableCoefficientStd Errort StatisticProb.SER01(-1)-0.9117730.144426-6,3130

3、760.0000C-0.0066420.013962-0.40410106B80R-squared0.463868Mean dependentvar-0.000692Adjusted R-squared0447364S D. dependent vair0.131265S.E. of regression0.097503Akaike info criterion-1.776278Sum squared resid0.447551Schwarz criterion-1.699059Log likelihood45,51077Hannan-Quinn criter.-1 746980F-stati

4、stic3985493Durbin-Wats on stat1.965715Prob (F-statistic)0.000000拒絕單位根假設(shè)，認(rèn)為模型平穩(wěn)EXCEL分析結(jié)果:SUMMARY OUTPUT回歸統(tǒng)計(jì)Multiple0.672592R SquareCL 45238Adjusted0,440729標(biāo)準(zhǔn)誤差0.072498觀測值49方差分析Coefficien標(biāo)Coefficien標(biāo)準(zhǔn)誤差丈 StatP-valueLower 95%Upper 95 卿邛艮95.0止限95. 0人lntercept -0. 005780.010357-0. 557820.579616-0. 02661

5、0. 015058-6 026610.015058X Variabl -0.496730.079719-6. 231051. 2E-07-0. 6571 -0. 33636-0.6571-0. 33636查表： 容量50,置信度9跚的DF值為-2.93,t值小于該值 序列平穩(wěn)dfssMS?ni ficanct回歸分析10.2040710. 20407138. 825981.2E-07殘差47 0, 2470330, 005256總計(jì)43 0.451104:P2.計(jì)算ACF,PACF，判斷模型類型EVIEWS分析結(jié)果：(1)原始數(shù)據(jù)未做差分：Date: 06/04/14 Time: 19:36S

6、ample: 2010M01 2014M03Included obsen/ations: 50Autocorrelation Partial Correlation AC PAC Q-Stat Prob11111 ooee 0.096 0.4086 0.52311112 *0.116 *01261 1377 0.506匚1匚1 13 -0.093 -0.072 1.6172 0.65511114 -0.137 -0.1 3S 2.6719 0.614匚1口1 115 -0 08& -0.0873.1026 0 69411iQ16 -0203 -0.2445.5426 0 476匚1I117 -

7、0023 -0.04E 5.5737 0.5901 1118 01470.056 6.9173 0.546111II9 0 047 -0.042 7.0584 0.6311111100.062 0.017 7.3105 0.6961J11110.002 -0.0297.3108 0.7731J 11J1120.127 0 135 8.4201 0 7521I1113 -0021 -0.0308.4520 0.8131 1I1114 -0 0620.041 0.7317 0 B4S111n i150095 0 14B 9.4029 0 856| r11116 -0 096 *0.00010.10

8、2 0.851i 11117 -0.094 -0.04610.802 0.8671II1II13 -0.03& 0.005 10.906 o.ese11 111190 03B 0.045 11.029 0.9231 1I1120 -0042 -0.14011.1S3 0 9411 111口11 1210 108 0.10612221 0.933111 o1220022 -0.07612267 0.95211 111 12300520 03012525 0.9021111240012 -o.ooe 12.538 0.973(2)一階差分:Date: 06/04/1 4 Time: 19:51Sa

9、mple： 2C10M03 2014M03Included observations: 49AutocorrelationPartial CorrelaiioriAC PAC Q-Stat Prob111 1i E1匚J1Q|1匚11 1，匚11n1I 1111匚111匚11口 I11 11IJII1II11 11 11 11111 11 1111II1 匚II1011 1:1 111 1111 111D|1Z1111匚1(3)二階差分：Date: 06/04/14 Time: 19:52Sample: 2010M03 20UM03 included observations: 471 -0.

10、376 -0.3752 -0.112 -0.2940.049 -0 U7-0.061 -0.1700.06b .0.047-0.164 .0.2427 -0.006 .0.261e 0,171 .D.06SS -0.033 -0.03610 0.001 -0.01011 -0.096 -0 14413 0.158 0 05513 -0.070 .0.02714 -0.127 .0.12316 0.182 0.OS216 -0.0660.03017 -0.039 -0.063-Q.002 -0.06910 0.081 0 10420 -0.127 .o.iesAutocorrelation Pa

11、rtial Correlation AC PAC Q-Stat Prob1II7.1693 cl CIO 77.8227 0.0207.950S D.0473.1544 0.086 a 4112 0 1359.9558 0 12799576 0.191 11.713 D 164 11 781 0.226 11781 0.300 12.380 0.336 14.043 0.299 14.376 0.343 15.518 0344 17.637 0.260 19.268 0.308 18.394 0.365 18.394 0 431 18.921 0 462 20.293 0.44011匚11匚1

12、1 1111 1匚11I11匚11口 IIII1IIII111II1II11匚1L1匚11II匚11 1111II匚11匚1II1 11 1II11111 C11II11111II匚12 |1匚1-0.587 -0.587 17.250 0.0000 021 -0.493 17.273 0 D000.152 -0 23S 18.478 0.0004-0.135 -Q.233 19448 0.0010.1 51 0.033 20.699 0.001-0.132 0.003 21.677 0.001-0,050 -0.215 21 868 0.0030.173 -0.150 23.645 0.003-0.009 -0.016 23.938 0.0040.023 0.15S 23.970 O.OOB-0.121 -0.051 24.908 0.0090J77 0.066 26962 O.OOE-OOED 0.0G7 27 206 0.012-0.135 -0.143 28.464 0.0120.166 -0.