Forecast And Analysis Of CSI 300 Index Based Upon ARIMA Model

Chinese stock market had experienced unprecedented volatility in the years 2007 and 2008, the Shanghai index hit the highest point at 6124 on October 16th, 2007and the lowest point at 1665 on October 28th, 2008. At the same time, the Shanghai and Shenzhen 300 Index also hit the highest point 5892 on October 17th, 2007and the lowest point at 1607 on November 4th, 2008.In first half of last year it can be said that it was a single rise in Chinese stock market, but from August it began wide fluctuations in the trend shock. At March 31, 2010 the official beginning of margin purchases and short sales thoroughly change the Chinese stock market system that investors couldn't sale but only purchase. This has both stability and boost effect. At April 16th 2010 Introduction of stock index futures will mark the further improvement of Chinese stock market and financial services innovation.The underlying index of stock index futures is the Shanghai and Shenzhen 300 Index, which represents the overall trend of Chinese stock market and is focused on the representative of a variety of stocks. Individual stock prices have limited reaction to the market index. Therefore, in order to research stock price volatility using technology, CSI 300 Index is more appropriate study object. Accordingly, it is also instructive for the portfolio or fund investment operations and agencies. In particular, it has Guidance on the role of stock index futures.Therefore, we use ARIMA time series analysis model to predict CSI 300 Index, which is a useful reference for the company and investors when making related decisions. In this paper, we build ARIMA model using the date from December 31st, 2004 to April 2nd, 2010. We also verify the prediction effect of this model.