Taiwan Stock Index forecasting-- the application of grey model

• Main Authors: I-Kai Tang, 唐宜楷
• Other Authors: Chau-chen Yang
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/31151744866835435751

碩士 === 國立臺灣大學 === 財務金融學研究所 === 87 === Grey forecasting model is suitable for little historical data to find the rules out and provide effective forecasting. Results got from this study are as follows： 1、The equilateral scale new information GM(1,1) is better in catching up the trend of data than the new information GM(1,1). 2 、The equilateral scale new information GM(1,1) in catching up the trend of data, when the variance of the data is great, the vale of the poster checking C is good . 3、 It is found from the empirical results of the forecast of Taiwan volume weighted index that the AR(1,1) model exhibits the better prediction capacity.