Abstract

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Time series analysis is a theory that used random process and mathematical statistics theory to analyze time .It is apply comprehensive to national economy macroeconomic adjustment and control, area complex development plan, enterprise operating management, market potential forecasting, weather hydrology prediction. It is an important means for estimation and forecast. The stock price has very deep effect to the economic benefits of the nation and the macro-economy policy. So people pay close attention to it. In this article, SSE composite index of one year is fitted two kinds of time series models, then forecast in short-time. Comparing the estimated valve with the true valve, the result is the relative error is small. So I think the model is suited to the data. At last, compare the two models.

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