Stock Return Analysis Based on ARMA (2,2) Model

Abstract

With the rapid development of China's economy, securities, stocks and other financial markets show a thriving trend. In the process of securities and stock investment, investors are more concerned about the investment return of stocks or securities. This paper selects the closing price of CSI 300 from January 5, 2015 to April 2, 2021 as the research object. Through the ARMA (2,2) model, the logarithmic rate of return of CSI 300 in this time period is fitted, and the rate of return series is predicted from two different angles outside the sample and inside the sample. The results show that there is a large difference between the predicted results and the actual results by using ARMA model alone, and the model needs to be optimized from other aspects to achieve the purpose of accurate prediction.