garch和eviews都是第一次接触,之前也没有学过,基本就照着网上各种教程做,碰到各种问题,请各位帮忙!
一.先创建一个序列p
1 -0.003469074
2 0.000988963
3 0.003122036
4 -0.001694047
5 0.000907656
...
二.查看柱状统计图
Series: P
Sample 1 3725
Observations 3725
Mean 0.000347
Median 0.000377
Maximum 0.090521
Minimum -0.064249
Std. Dev. 0.015106
Skewness -0.113975
Kurtosis 5.245433
Jarque-Bera 790.6207
Probability 0.000000
拒绝正态分布假设
三.考察平稳性
Null Hypothesis: P has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic based on SIC, MAXLAG=29)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -31.89559 0.0000
Test critical values: 1% level -3.431921
5% level -2.862119
10% level -2.567122
P接近0说明序列平稳
四.相关性检验
Autocorrelation Partial Correlation AC PAC Q-Stat Prob
| | | | 1 -0.021 -0.021 1.6529 0.199
|* | |* | 2 0.079 0.078 24.711 0.000
| | | | 3 0.049 0.052 33.544 0.000
| | | | 4 0.020 0.016 35.059 0.000
| | | | 5 0.036 0.029 39.824 0.000
| | | | 6 -0.034 -0.038 44.101 0.000
| | | | 7 0.017 0.008 45.131 0.000
| | | | 8 0.018 0.021 46.383 0.000
| | | | 9 0.022 0.023 48.147 0.000
| | | | 10 0.023 0.020 50.081 0.000
| | | | 11 0.022 0.020 51.911 0.000
| | | | 12 0.026 0.019 54.482 0.000
| | | | 13 0.009 0.004 54.817 0.000
| | | | 14 0.025 0.019 57.123 0.000
| | | | 15 0.018 0.015 58.384 0.000
| | | | 16 0.019 0.014 59.670 0.000
| | | | 17 0.021 0.017 61.392 0.000
| | | | 18 0.037 0.033 66.538 0.000
| | | | 19 0.033 0.027 70.587 0.000
| | | | 20 -0.003 -0.011 70.631 0.000
| | | | 21 -0.013 -0.024 71.239 0.000
| | | | 22 -0.031 -0.038 74.815 0.000
| | | | 23 -0.023 -0.026 76.738 0.000
| | | | 24 -0.041 -0.038 83.028 0.000
| | | | 25 0.044 0.050 90.443 0.000
| | | | 26 0.016 0.024 91.350 0.000
| | | | 27 0.015 0.010 92.217 0.000
| | | | 28 0.034 0.024 96.590 0.000
| | | | 29 0.003 -0.004 96.619 0.000
| | | | 30 -0.006 -0.021 96.770 0.000
| | | | 31 0.021 0.021 98.468 0.000
| | | | 32 -0.012 -0.008 99.034 0.000
| | | | 33 0.012 0.009 99.581 0.000
| | | | 34 -0.002 0.000 99.603 0.000
| | | | 35 0.006 0.004 99.750 0.000
| | | | 36 0.011 0.007 100.24 0.000
教程上几乎所有的P都是>0.05的,“故序列在5%的显著性水平上不存在显著的相关性”,那么我这个结果是有相关性吗,后面的步骤还要做吗?