The 30-Day CHIBOR Forecast by Combining Regression and ARIMA Model

机译：回归和ARIMA模型相结合的30天CHIBOR预测

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Selecting 30-day China inter-bank offered rates (CHIBOR) as variable being explained,and monthly industry added value index,the growth rate of money & quasi money supply,and the growth rate of corporate goods price index as explanatory variables,a 30-day CHIBOR forecast model only based on the regression method is first established.Next,by combining the regression model and autoregressive integrated moving average (ARIMA) model,second model forecasting 30-day CHIBOR rates is founded.Then,an out-of-sample forecast to 30-day CHIBOR rates are done by using the two models and a comparison to the forecast performance about two models is conducted.The results show that the second model accurately captures the change of CHIBOR rates in 30-day maturity while the first does not and the forecast errors of the second model are smaller than those of the first,which suggests that the choice to three explanatory variables are rational and a model based on the regression and ARIMA method is better than the other one only based on the regression method in forecasting 30-day CHIBOR.

机译：选择30天的中国银行间同业拆借利率（CHIBOR）作为变量，以月度行业增加值指数，货币和准货币供应量的增长率以及企业商品价格指数的增长率为解释变量，a 30首先建立仅基于回归方法的日CHIBOR预测模型。其次，通过将回归模型与自回归综合移动平均（ARIMA）模型相结合，建立了第二种预测30天CHIBOR利率的模型。使用这两个模型对30天的CHIBOR利率进行了样本预测，并与这两个模型的预测性能进行了比较。结果表明，第二个模型准确地捕获了30天到期的CHIBOR利率的变化，而第一个模型不然，第二个模型的预测误差小于第一个模型，这表明对三个解释变量的选择是合理的，并且基于回归和ARIMA方法的模型更好。另一种仅基于回归方法来预测30天的CHIBOR。

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来源
《2012 IEEE 5th International conference on management engineering amp; technology of statistics》|2012年|100-103|共4页
会议地点 Qingdao(CN)
作者
Linchang Pu; Daoping Chen;
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作者单位

School of Economics and Management Chongqing Normal University Chongqing,China;

School of Economics and Management Chongqing Normal University Chongqing,China;

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会议组织
原文格式 PDF
正文语种 eng
中图分类统计学;
关键词
CHIBOR; Forecast; Regression; ARIMA;

机译：Chibo R：Forecast st； Reglession； Arima;

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The 30-Day CHIBOR Forecast by Combining Regression and ARIMA Model

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