Application of ARIMA and ETS Model in Fund Index Prediction

Based on the ARIMA model and the ETS model, this paper selects the closing price of the Shanghai Stock Exchange Fund Index from January 1, 2017 to December 31, 2020 as the research data, and establishes ARIMA (1,1,0) model according to the AIC and BIC standards. By comparing the forecasting effects of the ARIMA model and the SES, DES and TES models on the Shanghai Stock Exchange Fund Index, although the error of the model forecast generally increases with the extension of the forecast time, the DES model is the most accurate in predicting short-term changes in the fund market, and the error of the prediction within three days is within 1%, which is of good guiding significance for the short-term investment of funds.