我試著要做雙變量E-GARCH,以下是我的指令但是得到的結果和我期待的不一樣
system(model=var3)
variables DLUS DLELEC
lags 1
det constant
end(system)
garch(p=1,q=1,model=var3,variance=exp,asymmetric,pmethod=simplex,piters=10,hmatrices=hh1,rvectors=rr1) / DLUS DLELEC
MV-GARCH - Estimation by BFGS
Convergence in 53 Iterations. Final criterion was 0.0000060 <= 0.0000100
Usable Observations 1959
Log Likelihood 14335.7792
Variable Coeff Std Error T-Stat Signif
************************************************************************************
1. DLUS{1} -9.5502e-004 0.0234 -0.04085 0.96741715
2. DLELEC{1} -0.0112 4.2945e-003 -2.61078 0.00903358
3. Constant -7.7891e-005 6.0047e-005 -1.29716 0.19457457
4. DLUS{1} -0.1862 0.0902 -2.06423 0.03899605
5. DLELEC{1} 0.0520 0.0221 2.35357 0.01859404
6. Constant 2.3034e-004 2.7161e-004 0.84807 0.39640095
7. C(1,1) 1.5860e-007 4.5803e-008 3.46263 0.00053493
8. C(2,1) -5.7187e-008 1.2061e-007 -0.47415 0.63539619
9. C(2,2) 4.1822e-006 1.1464e-006 3.64829 0.00026399
10. A(1,1) 0.0748 0.0123 6.07852 0.00000000
11. A(2,1) 0.0512 9.8732e-003 5.18763 0.00000021
12. A(2,2) 0.0287 0.0106 2.71797 0.00656838
13. B(1,1) 0.9015 0.0112 80.66420 0.00000000
14. B(2,1) 0.9227 0.0121 76.04735 0.00000000
15. B(2,2) 0.9093 0.0138 65.86475 0.00000000
16. D(1,1) 0.0299 0.0144 2.07832 0.03767985
17. D(2,1) -0.0922 0.0291 -3.16971 0.00152592
18. D(2,2) 0.0826 0.0188 4.39677 0.00001099
為什麼係數只有A(2,1) B(2,1)D(2,1) ??沒有A(1,2) B(1,2)D(1,2)??
A(2,1) B(2,1)D(2,1)這些係數是什麼意思??
有沒有這個模型原來方程式的樣子??
我才知道係數代表什麼意思?
非常謝謝!!