摘要：Prediction and analysis of the Shanghai Composite Index is conducive for investors to investing in the stock market, and providing investors with reference. This paper selects Shanghai Composite Index monthly closing price from Jan, 2005 to Oct, 2016 to construct ARIMA model. This paper carries on the forecast of the last three monthly closing price of Shanghai Stock Index that have occurred, and compared it with the actual value, which tests the accuracy and feasibility of the model in the short term Shanghai Stock Index forecast. At last, this paper uses the ARIMA model to forecast the Shanghai Composite Index closing price of the last two months in 2016.
