Time series data is common in data sets has become one of the focuses of current research. The prediction of time series can be realized through the mining of time series data, so that we can obtain the development process and regularity of social economic phenomena reflected by time series, and extrapolate to predict its development trend. More and more attention has been paid to time series prediction in the era of big data. It is the basic application of time series prediction to accurately predict the trend. In this paper, we introduce various time series autoregressive (AR) model, moving average (MA) model, and ARIMA model that is combined by AR and MA. As the time series prediction in general scenarios, the ARIMA is applied to the risk prediction of the National SME Stock Trading (New Third Board) in combination with specific scenarios. The case studies show that the results of our analysis are basically consistent with the actual situation, which has greatly helped the prediction of financial risks.