使用uscd_garch工具箱进行对角阵的BEKK-GARCH模型进行估计时,出来的结果如何解释,各个参数对应的系数是哪个?t统计量或者估计标准误差如何看?
具体:
两个序列:2*356
使用模型:[parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores] = diagonal_bekk_T_mvgarch(data,p,q,BEKKoptions);
对应工具箱中的解释:
PURPOSE:
% To Estimate a diagonal BEKK multivariate GARCH model with T-dist errors. ****SEE WARNING AT END OF HELP FILE****
%
% USAGE:
% [parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores] = diagonal_bekk_T_mvgarch(data,p,q,options);
%
% INPUTS:
% data - A t by k matrix of zero mean residuals
% p - The lag length of the innovation process
% q - The lag length of the AR process
% options - (optional) Options for the optimization(fminunc)
%
% OUTPUTS:
%
parameters - A (k*(k+1))/2+p*k+q*k+1 vector of estimated parameteters.
% For any k set of Innovation or AR parameters X,
% diag(X) will give the correct matrix
% To recover C, use ivech(parmaeters(1:(k*(k+1))/2), nu is the last parameter
% loglikelihood - The loglikelihood of the function at the optimum
% Ht - A k x k x t 3 dimension matrix of conditional covariances
% likelihoods - A t by 1 vector of individual likelihoods
% stdresid - A t by k matrix of multivariate standardized residuals
% stderrors - A numParams^2 square matrix of robust Standad Errors(A^(-1)*B*A^(-1)*t^(-1))
% A - The estimated inverse of the non-robust Standard errors
% B - The estimated covariance of the scores
% scores - A t by numParams matrix of individual scores
%
%
% COMMENTS:
% ***************************************************************************************
% * THIS FUNCTION INVOLVES ESTIMATING QUITE A FEW PARAMETERS. THE EXACT NUMBER OF
% * PARAMETERS NEEDING TO BE ESTIMATED IS (k*(k+1))/2+pk+qk. FOR A 5 VARIATE (1,1) MODEL
% * THIS INVLOVES 25 PARAMETERS. IN ADDITION, IT ESTIMATES A SCALAR_BEKK_MVGARCH
% * MODEL FOR STARTING VALUES.
% ***************************************************************************************
%
%
% Author: Kevin Sheppard
%
kevin.sheppard@economics.ox.ac.uk
% Revision: 2 Date: 12/31/2001
假设BEKK模型是:
最终估计出来的结果:
parameters:
0.00998706064970756
0.00976385886878744
0.00295361221985619
0.00450853392320618
0.00450826807508813
0.713312528463977
0.713308685586561
11.0999807506309
stderrors
是一个8*8的矩阵
请问各位大侠:模型的系数及其t统计量到底是哪个?