做完模型了,但是不知道各项参数有什么具体意义,两国股市的VAR-BEKK-GARCH(1,1)模型,数据如下,我只知道一个wald检验看看存不存在单边溢出,请问从结果中能利用到什么其他的信息吗?
MV-GARCH, BEKK - Estimation by BFGS
Convergence in 78 Iterations. Final criterion was 0.0000009 <= 0.0000100
Usable Observations 709
Log Likelihood 4822.1266
Variable Coeff Std Error T-Stat Signif
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Mean Model(RHS)
1. Constant 0.000049717 0.000326247 0.15239 0.87887869
2. RHS{2} 0.018991406 0.034349261 0.55289 0.58033788
3. RGR{1} 0.282358272 0.039034181 7.23362 0.00000000
Mean Model(RGR)
4. Constant 0.000734484 0.000245575 2.99088 0.00278178
5. RHS{2} 0.022292468 0.024127414 0.92395 0.35551354
6. RGR{1} -0.081149742 0.039977135 -2.02990 0.04236631
7. C(1,1) 0.000343634 0.000762453 0.45069 0.65220945
8. C(2,1) -0.001147155 0.002859282 -0.40120 0.68826994
9. C(2,2) 0.001470367 0.002180783 0.67424 0.50016005
10. A(1,1) 0.207884547 0.029107311 7.14200 0.00000000
11. A(1,2) 0.088207320 0.031104723 2.83582 0.00457086
12. A(2,1) -0.175692586 0.056120853 -3.13061 0.00174443
13. A(2,2) 0.364074482 0.046882574 7.76567 0.00000000
14. B(1,1) 0.966944205 0.006757440 143.09328 0.00000000
15. B(1,2) -0.006805351 0.008183378 -0.83161 0.40563101
16. B(2,1) 0.066303954 0.024857689 2.66734 0.00764539
17. B(2,2) 0.888852398 0.023341148 38.08092 0.00000000
test(title='wald',zeros)
# 11 12 15 16
wald
Chi-Squared(4)= 13.280294 or F(4,*)= 3.32007 with Significance Level 0.00998441
test(title='wald',zeros)
# 11 15
wald
Chi-Squared(2)= 8.455571 or F(2,*)= 4.22779 with Significance Level 0.01458465
test(title='wald',zeros)
#12 16
wald
Chi-Squared(2)= 9.819927 or F(2,*)= 4.90996 with Significance Level 0.00737276