悬赏 5 个论坛币 未解决
Conditional Distribution: t
with estimated parameter 4.525139 and standard error 0.3383105
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Estimated Coefficients:
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Value Std.Error t value Pr(>|t|)
C 2.054e-004 1.224e-004 1.6787 0.0932843
country[, 4] -3.429e-002 1.309e-002 -2.6193 0.0088439
country[, 5] -2.105e-002 2.987e-002 -0.7047 0.4810220
country[, 6] -3.806e-003 2.337e-002 -0.1629 0.8706317
country[, 7] -1.281e-001 3.180e-002 -4.0271 0.0000575
A 2.537e-007 1.261e-007 2.0125 0.0442308
ARCH(1) 5.249e-002 1.780e-002 2.9492 0.0032045
ARCH(2) 1.008e-002 1.961e-002 0.5139 0.6073271
GARCH(1) 9.416e-001 6.577e-003 143.1582 0.0000000
结果如上,请问”with estimated parameter 4.525139 and standard error 0.3383105“中estimated parameter是什么啊?难道是t分布自由度?但是俺设置了dis.par=10也就是t分布自由度是10,为什么还有这个estimated parameter出现呢?
另外,如果选择t分布估计garch model,那么残差是不是不能用Jarque-Bera Test了?只能用pplot测出是不是t dist?