Forecasting method, device, equipment and medium for predicting return rate based on capital flow

Abstract

The invention discloses a forecasting method, device, equipment and medium based on capital flow forecasting rate of return. The forecasting method includes: acquiring sampled macro-fund flow variables and the monthly data sequence of the return rate of the Shanghai Stock Exchange Index. The macro-fund flow variables include money supply and Bank overnight lending rate; carry out unit root test on the monthly data sequence, and determine whether the unit root characteristic of the monthly data sequence after the unit root test meets the grace condition of the multivariate cointegration test; the unit root characteristic is that the monthly data sequence is N i Order integrated sequence, N i ≥0; when the unit root characteristics meet the grace conditions of the multivariate cointegration test, the Johansen maximum likelihood estimation method is used to determine the co-integration relationship between the monthly data series of the macro-fund flow variable and the monthly data series of the Shanghai Stock Exchange index yield; according to The VECM model established based on the co-integration relationship predicts the return rate of the Shanghai stock index. The forecasting method of the invention fills in the gap that there is still a lack of macro capital flow indicators to forecast the Chinese stock index.

Description

technical field [0001] The invention relates to the field of data processing, in particular to a forecasting method, device, equipment and medium for forecasting yield based on capital flow. Background technique [0002] In the development process of my country's stock market, macroeconomic policies and changes often have a more important impact on the stock market. Compared with mature foreign markets, in a sense, my country's stock market is more like a "capital market". The decline is greatly affected by the promotion of macro-funds such as money supply and interest rates, and investors are also very concerned about the tightness and changes at the macro-fund level. [0003] Since the data of the stock market are mainly time series, they have the characteristics of massive, unstable, non-normal, high noise, etc., and there are many factors that affect the stock market, so stock analysis is a relatively complicated process. Among the many factors affecting stock prices, ca...

AI Technical Summary

Problems solved by technology

[0004] For the above-mentioned problems in related technologies, there is still a lack of better technical solutions at present.

Images