请教epoh老师 egarch的程序包是什么

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收藏 2012-12-28

这个是不是要用特殊的方法来做，之前做的garch模型只需要用garchFit就可以分析出来，但是egarch的语句查不到···
谢谢老师！

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epoh

2012-12-28 16:37:53

library(rugarch)
data(sp500ret)
spec = ugarchspec(variance.model = list(model = "eGARCH", garchOrder = c(1, 1)),
   mean.model = list(armaOrder = c(1, 1), arfima = FALSE), distribution.model = "std")
fit = ugarchfit(spec = spec, data = sp500ret, out.sample = 0, solver = "solnp", solver.control = list(trace = 0))
fit
*---------------------------------*
*       GARCH Model Fit       *
*---------------------------------*

Conditional Variance Dynamics
-----------------------------------
GARCH Model    : eGARCH(1,1)
Mean Model    : ARFIMA(1,0,1)
Distribution : std

Optimal Parameters
------------------------------------
      Estimate  Std. Error  t value Pr(>|t|)
mu    0.000437 0.000092 4.7658 2e-06
ar1    0.731213 0.074840 9.7703 0e+00
ma1 -0.760652 0.071457 -10.6449 0e+00
omega  -0.113595 0.019917  -5.7033 0e+00
alpha1 -0.078280 0.009018  -8.6808 0e+00
beta1 0.988013 0.002127 464.4841 0e+00
gamma1  0.110265 0.010801  10.2092 0e+00
shape 6.521778 0.554433  11.7630 0e+00

Robust Standard Errors:
      Estimate  Std. Error  t value Pr(>|t|)
mu    0.000437 0.000089 4.8897 1e-06
ar1    0.731213 0.040019  18.2716 0e+00
ma1 -0.760652 0.039183 -19.4127 0e+00
omega  -0.113595 0.021342  -5.3225 0e+00
alpha1 -0.078280 0.011251  -6.9577 0e+00
beta1 0.988013 0.002277 433.9338 0e+00
gamma1  0.110265 0.011002  10.0220 0e+00
shape 6.521778 0.675463 9.6553 0e+00

LogLikelihood : 18161.66

Information Criteria
------------------------------------

Akaike    -6.5738
Bayes       -6.5643
Shibata    -6.5738
Hannan-Quinn -6.5705

Q-Statistics on Standardized Residuals
------------------------------------
   statistic p-value
Lag10    14.92 0.06067
Lag15    26.67 0.01380
Lag20    32.01 0.02190

H0 : No serial correlation

Q-Statistics on Standardized Squared Residuals
------------------------------------
   statistic p-value
Lag10    4.369  0.8224
Lag15    6.145  0.9407
Lag20    7.974  0.9790

ARCH LM Tests
------------------------------------
         Statistic DoF P-Value
ARCH Lag[2]    1.647 2  0.4389
ARCH Lag[5]    1.894 5  0.8636
ARCH Lag[10]    4.275  10  0.9341

Nyblom stability test
------------------------------------
Joint Statistic:  5.9612
Individual Statistics:
mu    0.2473
ar1 1.1236
ma1 1.0484
omega  0.2594
alpha1 2.5779
beta1  0.2392
gamma1 0.1184
shape  1.7424

Asymptotic Critical Values (10% 5% 1%)
Joint Statistic:       1.89 2.11 2.59
Individual Statistic: 0.35 0.47 0.75

Sign Bias Test
------------------------------------
               t-value    prob sig
Sign Bias          0.1619 0.8714217
Negative Sign Bias  2.7171 0.0066062 ***
Positive Sign Bias  1.8662 0.0620719 *
Joint Effect    19.7580 0.0001905 ***

Adjusted Pearson Goodness-of-Fit Test:
------------------------------------
  group statistic p-value(g-1)
1 20    49.77 0.0001416
2 30    60.89 0.0004774
3 40    75.52 0.0004057
4 50    81.64 0.0023565

Elapsed time : 3.416406