有个疑问、为什么同一个garch模型(同一个spec)ddcfit出来和ugarcgfit的garch部分参数差异那么大?
我的代码如下【看china1的数据估计结果偏差】:
>garch11.spec = ugarchspec(mean.model = list(armaOrder = c(0,0)),variance.model = list(garchOrder = c(1,1),model = "sGARCH"),distribution.model = "sstd" )
> dcc.garch00.spec = dccspec(uspec = multispec(c(garch11.spec,garch11.spec)),dccOrder = c(1,1),distribution = "mvt")
> ugarchfit(garch11.spec,china1)#单独garch部分
> dccfit(dcc.garch00.spec,data.frame(china1,russia1))
#连带dcc部分