![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=1739381517-8FRqzgvDIsEeWvZaYK83ct0CqbcWI5Vf-0-df7445098d3eacece078f930efde460a)
图10-4 模型预测情况图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_2.jpg?sign=1739381517-JBp5BSDRILj0RN5xHFMSfUncYqAviywX-0-26e4063722c1bda29030e39a5a737437)
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=1739381517-pC0bm75GASMkBnb882cuzClWcf4s5ghG-0-357bdc41cccfbf5ef5c83517a4b7faa3)
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=1739381517-FEJeIiKoN6l466bBNIFpCeewHYsp3dGk-0-58aa1cc9a5f764c40a7d6c17cc7f6255)
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=1739381517-KINSIwtOyHUsQ8hDgbvZHrcJM0cP2Uwc-0-d31bc342b21d17d033c439148122fd87)
图11-4 乘客序列的残差图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_6.jpg?sign=1739381517-kCUWRncYKiWnW4HYG05p2lVXy6MxEMo6-0-001d8b335c25774a9d2af24ce49c8e3a)
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=1739381517-q8JWaS2ZYCEkmOqom09gb9GpFju7xs8p-0-8418f426afb44cf349ed5d92b5702d42)
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=1739381517-nzpoG62MiTPibGJdXr3w3s7IjD6fiCol-0-7fe4ef92c04c72b2800d4dfbe2b5f84a)
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=1739381517-ZW0ZjgfOBx8eq5eVf6aMu8eXVFAo5GjG-0-158d3993d6bd225f8b48be963997b661)
图11-8 预测的置信区间图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_10.jpg?sign=1739381517-oj9I9IUm3bIaxIADwGHMBZgdkhg5sYfK-0-d7e5cfd9f14fa5081063a4d6fe5c6e46)
图11-10 预测结果的分布图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_11.jpg?sign=1739381517-HdjfVdiD5YuijkSFK2Egt3xO1CgX6uac-0-5e78d78fcfd453df7cbd3466c0d189ba)
图12-1 标普500走势图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_12.jpg?sign=1739381517-spsb4F8SXGHEdNqHAlIBVbpjasJwj2Yg-0-b1f0cf8e86042fb45b09e79ae694477e)
图12-2 标普500收益序列图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_13.jpg?sign=1739381517-H2jK8laE0XjX8Ww5x8b0dN8gmqjmUDvh-0-a612ebb2227c11bfaee3c66d0727f853)
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=1739381517-KeeJXdKUpoEeJ7C5jdAkrdSSAMZsOT48-0-d5911246ce7745e5983535d830e900db)
图12-4 序列的ACF和PACF图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_15.jpg?sign=1739381517-suEGk9LfamNAqcZsWLcDbUSn88z47Exc-0-c2cf2c90fd00937a4d31df895e902c4e)
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=1739381517-wAvCeGwCpISaOecdbIJOCsNV9pprCFfO-0-53ceda0c0608f144fab6c6a7379ca582)
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=1739381517-hQarzFuxqjiAbnGlouhaJK3STWfqeIP3-0-833ff6935e20a32172c887aa18ebce69)
图12-7 收益的仿真结果
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_18.jpg?sign=1739381517-hgHDRrBfq8GikII8Bae7orpVyWSbEkXD-0-05ffc79b00d827341daf8b46eaef37c0)
图12-8 条件方差仿真结果
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_19.jpg?sign=1739381517-WBjYVd3WDWRNDvJ6VKU66JpMSYxKy5l6-0-7b52e680f3b905f97e15b5bfba6bd3ee)
图12-9 蒙特卡罗仿真结果
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_20.jpg?sign=1739381517-pBDbZGOG0zmNQvGwK2rnZb3OoFoG59O0-0-a153d0a6b69c6d15487c3707ed4db01f)
图12-10 预测轨迹分布图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_21.jpg?sign=1739381517-VA69mw1i7CEXTzAjYHiTJ3WQjba8vUyO-0-17fe5ddfc49dce484185d8c5549289e3)
图12-11 中值价格路径预测结果