.

:

) (






) (

2004 :2000

2004 :2000
.
.

70000

sh
60000

50000
50

40

30

20

10

Index


Autocorrelation Function for sh

12

Autocorrelation

1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0

LBQ

Corr

Lag

LBQ

Corr

Lag

34.22
34.22

0.83
0.03

0.16
0.01

8
9

4.42
10.40

2.05
2.19

0.28
0.32

1
2

34.22
34.54

0.00
0.34

0.00
0.07

10
11

19.70
25.59

2.49
1.77

0.40
0.31

3
4

34.57
36.09

0.09
-0.72

0.02
-0.14

12
13

26.02
32.26

0.45
1.69

0.08
0.31

5
6

32.45

0.28

0.05

30
20
10
C5

0
-10
-20
-30
50

40

30

20

10

Index

ACF PACF
-:
Zt=(1- B)et ARIMA(0,1,1) (B-1):


Autocorrelation Function for C5

12

Autocorrelation

1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0

LBQ

Corr

Lag

LBQ

Corr

Lag

31.98
32.99

0.93
-0.62

0.18
-0.12

8
9

12.87
13.36

-3.49
-0.56

-0.48
-0.09

1
2

33.30
33.85

-0.34
0.45

-0.07
0.09

10
11

14.55
15.79

0.85
0.85

0.14
0.14

3
4

34.29
40.82

0.39
-1.49

0.08
-0.30

12
13

21.91
26.75

-1.85
1.53

-0.32
0.28

5
6

29.85

-1.16

-0.22

Partial Autocorrelation Function for C5

12

Partial Autocorrelation

1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0

Lag PAC

Lag PAC

0.64
-0.29

8 0.09
9 -0.04

-3.49
-3.05

1 -0.48
2 -0.42

-1.78
-0.10

10 -0.24
11 -0.01

-1.39
1.31

3 -0.19
4 0.18

-0.41
-1.15

12 -0.06
13 -0.16

-0.82
1.14

5 -0.11
6 0.16

-1.47

7 -0.20

)ARMA(0,1,1
)Zt=(1- B)et (B-1


:
:
AR
:
=1>0.7578

t < 2

)ARMA(0,1
Autocorrelation Function for RESI1

12

Autocorrelation

1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0

LBQ

Corr

Lag

LBQ

Corr

Lag

9.62
11.29

0.23
-1.01

0.04
-0.16

8
9

0.23
0.23

-0.46
0.03

-0.06
0.00

1
2

12.18
12.31

-0.71
0.27

-0.11
0.04

10
11

2.68
3.23

1.49
0.67

0.20
0.10

3
4

12.32
15.22

0.08
-1.23

0.01
-0.20

12
13

5.91
7.35

-1.45
1.02

-0.21
0.15

5
6

9.53

-1.21

-0.19

)ARMA(0,1
Partial Autocorrelation Function for RESI1

12

Lag PAC

Lag PAC

0.76
-1.36

8 0.10
9 -0.19

-0.46
-0.00

1 -0.06
2 -0.00

-0.86
0.92

10 -0.12
11 0.13

1.50
0.94

0.21
0.13

-0.30
-0.26

12 -0.04
13 -0.04

-1.52
0.62

5 -0.21
6 0.08

-1.66

7 -0.23

3
4

Partial Autocorrelation

1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0

 ) ( ) (


% 95



)MA(1

Autocorrelation Function for C8

12

Autocorrelation

1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0

LBQ

Corr

Lag

LBQ

Corr

Lag

33.13
34.12

1.01
-0.61

0.20
-0.12

8
9

12.96
13.86

-3.50
-0.75

-0.49
-0.13

1
2

34.45
35.06

-0.34
0.46

-0.07
0.09

10
11

15.29
16.36

0.93
0.78

0.16
0.13

3
4

35.63
43.05

0.44
-1.56

0.09
-0.32

12
13

22.03
27.41

-1.76
1.61

-0.31
0.30

5
6

30.54

-1.15

-0.22

Partial Autocorrelation Function for C8

12

Lag PAC
8
9

Lag PAC

-3.50
-3.41

1 -0.49
2 -0.47
3 -0.27
4 0.09
5 -0.15
6 0.19

-1.08

7 -0.15

1.41
0.29

0.20
0.04

-1.34
-0.03

10 -0.19
11 -0.00

-1.97
0.67

-0.52
-1.36

12 -0.07
13 -0.19

-1.08
1.40

Partial Autocorrelation

1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0

 Ljung
Qk
48
46.2
46
0.463
55.758

36
37.0
34
331.
43.773

24
26.9
22
0.216
33.924

Lag
Chi-sqare
DF
P-Value
2

12
12.1
10
0.281
18.307

Qk > 2
,

prob > 0.05
) (

30

20

RESI1

10

-10

-20
10

-10

-20

FITS1

-:

0.2184

 -:

60008.8
60099.6
60190.4
60281.3
60372.3

50687.8
70116.0
50487.6
70548.6
50296.2
70972.4
50112.9
71388.3
49937.0
71796.9