An Empirical Analysis the Consumer Price Index Forecast Based on ARIMA Model

Most of the time series are inertial,or sluggish.According to analysis of the inertia,the future value of time series could be estimated by its current value.Based on the monthly CPI data from January 2000 to December 2008,the thesis firstly statistically indentifies the correlation function and the partial correlation function of consumer price index,tests the stationarity of ADF,then uses ARIMA model to test residual serial autocorrelation,lastly makes a short-term estimation on monthly CPI of our country in 2009.Empirical results show that ARIMA(12,1,12) model provides a better prediction for the monthly consumer price index(CPI) of our country in 2009.