Research on Shanghai Copper Futures Price Forecast Based on X12-ARIMA-GARCH Family Models

Use time series models to predict the prices of Shanghai copper futures. First, the Census X12 seasonal adjustment is performed on the original time series, and then the ARIMA model is established and ordered. After the ARCH LM test is performed to determine that the model still has heteroscedasticity, GARCH family models are established for the residual series. Then the parameters of X12-ARIMA-GARCH family models are estimated. According to relevant statistic criteria, the X12-ARIMA-TGARCH model is the best model for predicting the price of Shanghai copper futures. Finally, this model is used to predict the daily closing price of Shanghai CUL8 futures and compare it with real value to determine the forecast effect. The results show that the X12-ARIMA-TGARCH model is the best model for analyzing Shanghai copper futures prices, whose fitting and forecast effects are the best compared with others.