![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=1738917818-sccIlEO9auSaBEd19p0NTi89WNvcA70N-0-12f7bfd522a444f89f9268b50fc43832)
图10-4 模型预测情况图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_2.jpg?sign=1738917818-yA5oDgfNQmZMJqMMwL0cY1nYaBl9jhIo-0-c00bd8bc67d109d66520530ffa18c441)
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=1738917818-rC8jAbrH6NbCcGEw9DKhcSvE0X3l9GF9-0-2a6c8c722b016edd711940fd03cd6b55)
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=1738917818-l3HonhpuhyMhpsYX5PmEcxVJ4DoQ0dNn-0-8119631654946009d7aad616f01273d4)
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=1738917818-gtWr3vmHK2nLiyHQCP7pfmcuip1IlR7X-0-4ffae26d749b7e27b977a8de85d00620)
图11-4 乘客序列的残差图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_6.jpg?sign=1738917818-dYhozXbXOrn1OmgAQIP0PBJEWgoUekBR-0-c6e21b7f566f7176c22edf7f62203a9c)
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=1738917818-saJcsy6ceoTwHdzMo0MOr2MDQvZ4YdjO-0-84da48310139cc3ebf2afaa55e3a207d)
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=1738917818-roL0NBguilwzmMz23jsYSx5GmYyOzaGP-0-0a7c222660367d8c00e86e8727cdc10b)
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=1738917818-wjBMHBflIXGrbRERpfRsO3dsutfNPbSi-0-0332b222fc38356ed563426da6071b5b)
图11-8 预测的置信区间图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_10.jpg?sign=1738917818-cPnRLlQPTT1q48hAwl9glLo9yRtXyiru-0-ca77a1b5d8285002752105b151a68201)
图11-10 预测结果的分布图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_11.jpg?sign=1738917818-ZxwNWoDWdtIMOg3MR80ffRCGDWSGMlYW-0-ad2169a4ee5dc5dfccb68bdf871afb28)
图12-1 标普500走势图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_12.jpg?sign=1738917818-932VYVVBqMmrSaJmZIzOG8Fo5MrYakbT-0-3a228b1dab46362e04d8af0b62407e51)
图12-2 标普500收益序列图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_13.jpg?sign=1738917818-Uo5pTLHy6bLBFv3eLugYldc6mX6mYYmQ-0-1bcb8517ce82fa09effbc70e9f84a1bb)
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=1738917818-wEeygmEbFJ9zrrJBwqFJJfudMsKy7j0S-0-039081fa614b413abca7d5cd4a15b86a)
图12-4 序列的ACF和PACF图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_15.jpg?sign=1738917818-9duCpajNn0mwDdpyzIGavLva2mtdtUnD-0-dbaa8fcb3c00890aee0d87b6a9cb0279)
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=1738917818-Gr0iqleopmZ0wIty5t1EpLQWFb1HGgmm-0-80b7fb8c87187ad343622e60ab042f76)
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=1738917818-fclt7VYGJEQ17u0PlNpzkYcDYfFMZWTx-0-f23fc03bf0ef26549db775f60941ed23)
图12-7 收益的仿真结果
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_18.jpg?sign=1738917818-0sAQtubdchgJVyTCEDuUJNbNkqSAuC84-0-2f9f3f0df53198dba58b2ff96a3ceb61)
图12-8 条件方差仿真结果
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_19.jpg?sign=1738917818-YnjDzj4yTJVkT4cPnmh8OQlAmMUnWtba-0-2c906c097c0b3344705618a44e7fb0c9)
图12-9 蒙特卡罗仿真结果
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_20.jpg?sign=1738917818-4Iauu4MAUPcr1D6KzseReE1Ew4x89zI2-0-9d856249d283b7f2fa7a9721d7744de2)
图12-10 预测轨迹分布图
![](https://epubservercos.yuewen.com/99F020/13898202703283906/epubprivate/OEBPS/Images/fow002_21.jpg?sign=1738917818-NaSWfLyuZkNNAs2lirUJYJ7KgGJAJYWP-0-7a8eac34ff44d19174c2f879f0f1d63c)
图12-11 中值价格路径预测结果