浦发银行时间序列分析

1、浦发银行收益率月度数据月收益率EVIEWS分析结果:NullHypothesis:SER01hasaunitrootExogenous:ConstantLagLength:0(AutomaticbasedonSIC,MAKLAG=10)t-StatisticProb?AugmentedDickey-Fullerteststatistic-6.3130760.0000Testcriticalvalues:1%level5%level-3.571310-2.92244910%level-2.599224*MacKinnon(1996)one-sidedp-vaiues.AugmentedDicke

2、y-FullerTestEquationDependentVariable:D(SER01)Method:LeastSquaresDate;05/04/14Time;19:24Sample(adjusted):201OMOI22014M02Ineludedobservations:49afteradjustmentsVariableCoefficientStdErrortStatisticProb.SER01(-1)-0.9117730.144426-6,3130760.0000R-squaredS.E? of regression Sum squared resid Log likeliho

3、od F-statistic Prob (F-statistic)C-0.0066420.013962-0.40410106B800.463868Meandependentvar-0.0006920447364SD.dependentvair0.1312650.097503Akaikeinfocriterion-1.7762780.447551Schwarzcriterion-1.69905945,51077Hannan-Quinncriter.-17469803985493Durbin-Watsonstat1.9657150.000000拒绝单位根假设，认为模型平稳EXCEL分析结果:SUM

4、MARYOUTPUT回归统计Multiple0.672592RSquareCL45238Adjusted0,440729标准误差0.072498观测值49方差分析dfssMS?nificanct:P回归分析10.2040710.20407138.825981.2E-07残差470,2470330,005256总计430.451104Coefficien1标准误差丈StatP-valueLower95%Uppcr95卿邛艮95.0止限95.0八Intercept-0.005780.010357-0.55782-0.579616-0.026610.015058-6026610.015058XVar

5、iabI-0.496730.0797196.231051.2E-07-0.6571-0.33636-0.6571-0.33636查表：容量50,置信度9跚的DF值为293,t值小于该值序列平稳2?计算ACF,PACF,判断模型类型EVIEWS分析结果：原始数据未做差分：Date:06/04/14Time:19:36Sample:2010M012014M03Includedobsen/ations:50AutocorrelationPartialCorrelationACPACQ-StatProb111111111111iQ11111口111JJ11II11|ri111ii111 HYPERLI

6、NK l bookmark0 o Current Document 1111111111111111J111ni111111o1II11口111ooee0.0962*0.116*012630.093-0.0724-0.137-0.13S5-008&-0.0876-0203-0.2447-0023-0.04E801470.05690047-0.042100.0620.017110.002-0.029120.127013513-0021-0.03014-00620.041150095014B16-0096*0.00017-0.094-0.04613?0.03&0.00519003B0.04520-

7、0042-0.1402101080.106220022-0.0760.40860.523113770.5061.61720.6552.67190.6143.102606945.542604765.57370.5906.91730.5467.05840.6317.31050.6967.31080.7738.420107528.45200.8130.73170B4S9.4029085610.1020.85110.8020.86710.906o.ese11.0290.92311.1S30941122210.933122670.952112300520030125250.902240012-o.ooe

8、12.5380.973一阶差分：Date:06/04/14Time:19:51Sample:2C10M032014M03Includedobservations:49AutocorrelationPartialCorrelaiioriACPACQ-StatProb1iE1111QI1n111l-0.376-0.3752-0.112-0.29430.049-0U74-0.061-0.17050.06b0.0477.1693cicio77.82270.0207.950SD.0473.15440.086a411201351口11II1111II111111l6-0.1640.2429.9558012

9、77-0.0060.26199576e0,171D.06S11.7130.191D164111111111D|1II11II11111:1Z1Q-0.033-0.036s100.001-0.01011-0158005513-0.0700.027117810.226117810.30012.3800.33614.0430.29914.3760.34314-0.1270.12315.5180344160.182O.OS216-0.0660.03017-0.039-0.063-Q.002-0.069100.0810104-0.127Bo.ies二阶差分：Date:06/04

10、/14Time:19:52Sample:2010M0320UM03includedobservations:47AutocorrelationPartialCorrelationACPACQ-StatProb1IIBiir,1iiiiiiiiIIIIf1111111c111111匚17.6370.26019.2680.30818.3940.36518.394043118.921046220.2930.440111ii111II1II一1ii|1|11ii|11II2I11-0.587-0.58717.2500.00020021-0.49317.2730D0030.152-023S18.4780.0004-0.135-Q.233194480.00150.1510.03320.6990.0016-0.1320.00321.6770.0017-0,050-0.215218680.00380.173-0.15023.6450.0039-0.009-0.01623.9380.004100.0230.15S23.970O.OOB11-0.121-0.05124.9080.009120J770.06626962O.OOE13-OOED0.0G7272060.01214-0.135-0.14328.4640.012150.166-0.02