module(finmetrics)
data=importData(file="pitaya.xls", type="EXCEL")
pitaya=cbind(data$ndfr,data$ahpr)
pitaya.bekk = mgarch(pitaya~-1, ~bekk(1,1))
summary(pitaya.bekk)
Call:
mgarch(formula.mean = pitaya ~ -1, formula.var =  ~ bekk(1, 1))

Mean Equation: structure(.Data = pitaya ~ -1
, class = "formula"
)

Conditional Variance Equation: structure(.Data =  ~ bekk(1, 1)
, class = "formula"
)

Conditional Distribution:  gaussian

--------------------------------------------------------------

Estimated Coefficients:
--------------------------------------------------------------
                   Value Std.Error   t value   Pr(>|t|)
       A(1, 1)  0.085875  0.008769    9.7933 0.000e+000
       A(2, 1)  0.028472  0.084970    0.3351 7.376e-001
       A(2, 2)  0.169469  0.098120    1.7272 8.450e-002
ARCH(1; 1, 1)  0.441704  0.029476   14.9854 0.000e+000
ARCH(1; 2, 1) -0.684249  0.248628   -2.7521 6.048e-003
ARCH(1; 1, 2)  0.009955  0.004621    2.1545 3.148e-002
ARCH(1; 2, 2)  0.234791  0.029056    8.0806 2.220e-015
GARCH(1; 1, 1)  0.830065  0.022975   36.1292 0.000e+000
GARCH(1; 2, 1)  0.325959  0.160278    2.0337 4.229e-002
GARCH(1; 1, 2) -0.002823  0.002767   -1.0200 3.080e-001
GARCH(1; 2, 2)  0.962251  0.008904  108.0645 0.000e+000

--------------------------------------------------------------

AIC(11) = 3260.095
BIC(11) = 3312.305

Normality Test:
--------------------------------------------------------------
   Jarque-Bera    P-value Shapiro-Wilk P-value
v1      182.89 0.000e+000       0.9813 0.02085
v2       28.76 5.682e-007       0.9879 0.74634

Ljung-Box test for standardized residuals:
--------------------------------------------------------------
   Statistic P-value Chi^2-d.f.
v1     16.01  0.1906         12
v2     23.44  0.0242         12

Ljung-Box test for squared standardized residuals:
--------------------------------------------------------------
   Statistic P-value Chi^2-d.f.
v1     6.632 0.88094         12
v2    23.236 0.02579         12

Lagrange multiplier test:
--------------------------------------------------------------
    Lag 1    Lag 2   Lag 3   Lag 4  Lag 5   Lag 6   Lag 7  Lag 8   Lag 9  Lag 10 Lag 11   Lag 12        C
v1 -1.035 -0.01092 -0.9605  0.5189 0.0635 -0.8196  0.0453 0.9842 -0.5974  0.7353 1.1013  0.02773 -0.06196
v2  1.274 -0.22540  3.3285 -0.1522 1.3225 -0.4175 -2.1950 0.2379 -1.6314 -0.6673 0.2407 -0.14026  0.85735

     TR^2 P-value F-stat P-value
v1  6.203 0.90551 0.5681 0.94316
v2 22.598 0.03134 2.1112 0.08006

谢谢您！！！！！！！！！！！！！~~~~~~~~~~~~~

再咨询您一下，我这个生成的BEKK没有C矩阵，是不是做wald检验的时候只要定义4*11的矩阵就行了[1,5]=[2,6]=[3,9]=[4,11]=1检验双波动溢出，然后令[1,5]=[2,9]=1检验AtoB的，令[1,6]=[2,10]=1检验BtoA的？

应该是[1,5]=[2,6]=[3,9]=[4,10]=1  ??