![MATLAB时间序列方法与实践](https://wfqqreader-1252317822.image.myqcloud.com/cover/834/25449834/b_25449834.jpg)
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![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_1.jpg?sign=1739335453-gwnndran7MNerudW6LoI0eqn0RV8z4rp-0-cb600176ca4d2681b1f4387db290c94e)
图10-4 模型预测情况图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_2.jpg?sign=1739335453-wN76KU8aM3W9b4yZlDwFNrnNPdKiN57i-0-6760e72d6ee986940a8955eafbcd71d9)
图11-1 乘客数(自然对数)的时间序列趋势图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_3.jpg?sign=1739335453-zJ9fwJo7dn8W9Z49OKXTzlQLstee1KJD-0-ef252e7b54b2f2db2aeee4ce75dc99d6)
图11-2 乘客序列差分序列图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_4.jpg?sign=1739335453-oamvEbnroFb3zt0NbY5O5jJNPRrBFJtR-0-1e953b4c967e31433e20e4e6fed143ef)
图11-3 样本的自相关函数图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_5.jpg?sign=1739335453-y2PWf3wnxtDFY0noFS6r1rThtqVHnwl4-0-3a4c8463b3d09a34c2c8e0cce0e9d02f)
图11-4 乘客序列的残差图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_6.jpg?sign=1739335453-ZNBfFSoQhw45NX1IB92PeaOPeQnLIjva-0-f1fdb12520f073882906727cb3c3adf7)
图11-6 乘客序列的残差分布图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_7.jpg?sign=1739335453-7NwGQIRV4rmXMhC3HozqeMECQa3pxnoz-0-5fdc07e20ed76c8ffa3d5b894d077f98)
图11-5 乘客序列的残差分布图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_8.jpg?sign=1739335453-aK1Raf2HTTO8mt9iZiuoeF26wKULF7M6-0-6ff1253c2e52c28a431344e4ea665e56)
图11-7 预测与实际数值的比较图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_9.jpg?sign=1739335453-NiyCbrJuWHYhTEJeA514XXi1YbO0XjQQ-0-7aa4fff707758fe48d043c5593e05eef)
图11-8 预测的置信区间图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_10.jpg?sign=1739335453-Wci5duabLjOiudr3M5kGY2CnBqCJxmyQ-0-3aea886107e05648c484a87d3afead66)
图11-10 预测结果的分布图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_11.jpg?sign=1739335453-2M8Y61sAE587EHYPMIgw8j1mVU3DjlrT-0-97a631d7fdb91a07f247c9263c0b03d7)
图12-1 标普500走势图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_12.jpg?sign=1739335453-jxV6ox0VgyvkB3yRIInI9AVKqB9WbF6X-0-d058335cc5dd03a4c3da0573562915de)
图12-2 标普500收益序列图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_13.jpg?sign=1739335453-vDPaZb78kQgnX2alfb8wQ0VAqksC3J0f-0-4340e7305e554afa3386df1db63537c4)
图12-3 训练集和测试集的划分(右侧虚线部分为测试集)
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_14.jpg?sign=1739335453-S7jWeZ852RUb9xcCX7nupzRThFDwtM2u-0-b9633b8830805e5f03c1614b0575d51e)
图12-4 序列的ACF和PACF图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_15.jpg?sign=1739335453-3RcclrAYVOcn01OMqAcj5VLfe0qO3Gw5-0-6e5d1de25d6d4519433f2f319f7696d1)
图12-5 MA与ARL参数扫描结果
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_16.jpg?sign=1739335453-kwqUCSB39wzkhdwnPwH9B9ImBCc3EOca-0-b16d69ae3bec209ad659081ab343010d)
图12-6 ARCH Lags与Garch Lags参数扫描结果
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_17.jpg?sign=1739335453-xMrAmjYXjYnU86iHeRD1Vpeq1OzzMvAB-0-4143d6fdd8106a7eccae2bb37f57bec8)
图12-7 收益的仿真结果
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_18.jpg?sign=1739335453-dHLQgcqa2ZOKU43eF73yTs043PT4OUKk-0-d1baa61ac7ed6aa956eec1638b116ec4)
图12-8 条件方差仿真结果
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_19.jpg?sign=1739335453-KHuKG1x2oxQT4BySqAEzBd5exo392AvG-0-5e0a0b4f96b40d27f895a67aaa65fa56)
图12-9 蒙特卡罗仿真结果
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_20.jpg?sign=1739335453-prFRkSGDdMHhLjMe3BRu4EPE0ucvJ4ge-0-5fdf7a2f37020a244cf87740269f4095)
图12-10 预测轨迹分布图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_21.jpg?sign=1739335453-tXVwGE3DVPL5tuTmX6sGT1htTzWT7v2n-0-f03be5b0bf3e797d4be53e7211b8cb29)
图12-11 中值价格路径预测结果