求助！WINRATS做VAR-BEKK-GARCH与VAR-DCC-GARCH其中给出的VAR结果不同，求问原因！

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收藏 2021-07-29

我用WINRATS对多组期货现货数据同时做了VAR-DCC-GARCH与VAR-BEKK-GARCH模型，一样的数据与计算方法情况下，两个模型给出的VAR系数完全不同，因为害怕后续答辩被问到，想请教一下论坛大神这是什么原因，该如何解释？这样的情况是否正常？用别的软件或者代码有没有办法规避这种情况？
其中一组的代码与结果如下：
system(model=var1)
variables rif rhs
lags 1 to 7
det constant
end(system)
garch(p=1,q=1,method=bfgs,pmethod=simplex,piters=100,model=var1,distrib=t,mv=bekk) / rif rhs

MV-GARCH, BEKK - Estimation by BFGS
Convergence in 135 Iterations. Final criterion was  0.0000000 <=  0.0000100
Usable Observations                   6905
Log Likelihood                   13782.7135

Variable                      Coeff    Std Error    T-Stat    Signif
************************************************************************************
1.  RIF{1}                      -0.031939010  0.021840934    -1.46235  0.14364632
2.  RIF{2}                      0.003193633  0.022968412    0.13904  0.88941492
3.  RIF{3}                      0.053041454  0.024122609    2.19883  0.02789020
4.  RIF{4}                      0.037286514  0.019131979    1.94891  0.05130612
5.  RIF{5}                      0.066527115  0.016253727    4.09304  0.00004258
6.  RIF{6}                      0.023659652  0.017651047    1.34041  0.18011188
7.  RIF{7}                      -0.013759845  0.010903533    -1.26196  0.20696243
8.  RHS{1}                      -0.015260725  0.023454690    -0.65065  0.51527435
9.  RHS{2}                      0.005613133  0.023732905    0.23651  0.81303487
10. RHS{3}                      -0.061153688  0.025302556    -2.41690  0.01565342
11. RHS{4}                      -0.025098944  0.020115975    -1.24771  0.21213654
12. RHS{5}                      -0.073496700  0.017494736    -4.20108  0.00002657
13. RHS{6}                      -0.017391596  0.018020309    -0.96511  0.33448928
14. RHS{7}                      0.008191716  0.011538668    0.70994  0.47774382
15. Constant                   0.002071262  0.001473348    1.40582  0.15977757
16. RIF{1}                      0.332927097  0.021091630    15.78480  0.00000000
17. RIF{2}                      0.135639607  0.022032763    6.15627  0.00000000
18. RIF{3}                      0.131500078  0.022768728    5.77547  0.00000001
19. RIF{4}                      0.089646234  0.017878509    5.01419  0.00000053
20. RIF{5}                      0.089030671  0.015587301    5.71174  0.00000001
21. RIF{6}                      0.056424988  0.016936693    3.33152  0.00086372
22. RIF{7}                      0.022849390  0.010603327    2.15493  0.03116758
23. RHS{1}                      -0.344603440  0.023678264 -14.55358  0.00000000
24. RHS{2}                      -0.131093520  0.023348868    -5.61456  0.00000002
25. RHS{3}                      -0.141167168  0.025061298    -5.63288  0.00000002
26. RHS{4}                      -0.088391961  0.019298206    -4.58032  0.00000464
27. RHS{5}                      -0.095353340  0.017103537    -5.57507  0.00000002
28. RHS{6}                      -0.051728782  0.018053429    -2.86532  0.00416593
29. RHS{7}                      -0.029869470  0.010917384    -2.73595  0.00621996
30. Constant                   0.002604569  0.001348224    1.93185  0.05337784
31. C(1,1)                      0.024039546  0.002003052    12.00146  0.00000000
32. C(2,1)                      0.030444930  0.002034712    14.96277  0.00000000
33. C(2,2)                      0.010752759  0.000925998    11.61208  0.00000000
34. A(1,1)                      -0.205416616  0.008662815 -23.71246  0.00000000
35. A(1,2)                      -0.448555017  0.014397725 -31.15458  0.00000000
36. A(2,1)                      0.471891337  0.013026045    36.22676  0.00000000
37. A(2,2)                      0.748128935  0.018972270    39.43276  0.00000000
38. B(1,1)                      1.072004277  0.003113484 344.31014  0.00000000
39. B(1,2)                      0.124124570  0.001206665 102.86581  0.00000000
40. B(2,1)                      -0.135723206  0.003567823 -38.04090  0.00000000
41. B(2,2)                      0.793038677  0.005036184 157.46816  0.00000000
42. Shape                      5.286145532  0.201319539    26.25749  0.00000000

garch(p=1,q=1,distrib=t,model=var1,pmethod=simplex,piters=100,method=bfgs,mv=dcc,hmatrices=hh) / rif rhs

MV-GARCH, DCC - Estimation by BFGS
Convergence in 97 Iterations. Final criterion was  0.0000095 <=  0.0000100
Usable Observations                   6905
Log Likelihood                   13775.3679

Variable                      Coeff    Std Error    T-Stat    Signif
************************************************************************************
1.  RIF{1}                      -0.066504094  0.018377751    -3.61873  0.00029605
2.  RIF{2}                      -0.016160454  0.022998548    -0.70267  0.48225969
3.  RIF{3}                      0.034540108  0.013928764    2.47977  0.01314677
4.  RIF{4}                      0.025486357  0.019255631    1.32358  0.18564278
5.  RIF{5}                      0.039875187  0.023001706    1.73358  0.08299349
6.  RIF{6}                      0.011307011  0.020983281    0.53886  0.58998476
7.  RIF{7}                      -0.014329271  0.023552762    -0.60839  0.54292866
8.  RHS{1}                      0.019088326  0.018433828    1.03551  0.30043299
9.  RHS{2}                      0.023574996  0.023178139    1.01712  0.30909536
10. RHS{3}                      -0.043242875  0.013888644    -3.11354  0.00184856
11. RHS{4}                      -0.015454390  0.019730066    -0.78329  0.43345604
12. RHS{5}                      -0.044441552  0.023744474    -1.87166  0.06125383
13. RHS{6}                      -0.009234650  0.021161660    -0.43639  0.66255676
14. RHS{7}                      0.004432520  0.023780668    0.18639  0.85213756
15. Constant                   0.002337198  0.001400188    1.66920  0.09507716
16. RIF{1}                      0.304862227  0.016517545    18.45687  0.00000000
17. RIF{2}                      0.117049095  0.021212538    5.51792  0.00000003
18. RIF{3}                      0.109863371  0.012215350    8.99388  0.00000000
19. RIF{4}                      0.077396707  0.017580545    4.40241  0.00001071
20. RIF{5}                      0.068895499  0.021467566    3.20928  0.00133066
21. RIF{6}                      0.046533721  0.019253022    2.41696  0.01565088
22. RIF{7}                      0.020246124  0.022215782    0.91134  0.36211642
23. RHS{1}                      -0.312951862  0.018243936 -17.15375  0.00000000
24. RHS{2}                      -0.112660023  0.022108480    -5.09578  0.00000035
25. RHS{3}                      -0.119153617  0.014007821    -8.50622  0.00000000
26. RHS{4}                      -0.077216993  0.018689811    -4.13150  0.00003604
27. RHS{5}                      -0.072469843  0.022429075    -3.23107  0.00123329
28. RHS{6}                      -0.044411426  0.020396363    -2.17742  0.02944933
29. RHS{7}                      -0.030628459  0.022770495    -1.34509  0.17859483
30. Constant                   0.003116136  0.001296146    2.40416  0.01620990
31. C(1)                         0.001641664  0.000191386    8.57778  0.00000000
32. C(2)                         0.001428566  0.000143743    9.93833  0.00000000
33. A(1)                         0.094844495  0.007821161    12.12665  0.00000000
34. A(2)                         0.107083853  0.007616012    14.06036  0.00000000
35. B(1)                         0.844877539  0.013038546    64.79845  0.00000000
36. B(2)                         0.831943327  0.011484601    72.43990  0.00000000
37. DCC(1)                      0.059881539  0.009178476    6.52413  0.00000000
38. DCC(2)                      0.820327717  0.030649315    26.76496  0.00000000
39. Shape                      5.117035363  0.148862944    34.37414  0.00000000
希望能得到各位老师们的一点帮助，谢谢！