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企业集团在实行资金集中管控管理体系时,作为集团内部运营的资金管理中心需要时刻关注其面临的日常现金流动。为了保障集团公司各单位的资金使用需求,同时降低现金持有成本,能够有效预测资金管理中心面临的现金需求量是十分必要的。本文使用某集团资金管理中心每日资金需求量的时间序列数据,采用了ARMA模型、GARCH(1,1)模型和EGARCH(1,1)模型等时间序列模型对数据进行建模,并对上述方法的预测效果进行了比较。实证结果表明,EGARCH(1,1)模型能较好地预测每日资金需求量,从而为资金管理中心进行资金运作规划提供了有价值的参考意义。
When implementing centralized management and control of capital management system, enterprise groups need to pay close attention to the daily cash flow they face as the fund management center for the operation of the group. In order to protect the demand for funds used by all the units of a group company and reduce the cash holding cost at the same time, it is very necessary to effectively predict the cash demand facing the fund management center. In this paper, we use the time series data of daily capital requirements of a group’s fund management center, and model the data by using time series models such as ARMA model, GARCH (1,1) model and EGARCH (1,1) model, The predicted effect of the method is compared. The empirical results show that the EGARCH (1,1) model can predict daily capital demand well and provide valuable reference for fund management planning.