你用什么软件？有四个估计值，其中一个就是波动性吧。好久不做，有点不记得了，我找找以前的看看。

http://bulaoge.net/user.blg?dmn=anabasis&cid=184481

1、平稳性什么的检验，ADF呗，PP好似也行。随便吧。不行就差分什么的吧。eviews里貌似很好弄，趋势项，截距项什么的。R里面呢？

2、平稳后，就检查序列相关性。

3、建立均值方程，回归一下，OLS吧，R里面写做lm（y～x···） %万一有序列相关，均值方程要怎么弄？那个模型叫什么来着的？ARMA？%

4、均值方程的残差检验ARCH效应。R的包有个FinTS，ArchTest命令，出自http://cos.name/cn/topic/15410

5、检验完神马的，就建立方程呗。eviews里好似直接选下，填下就可以了，各种GARCH貌似都有些，R呢？

6、然后在检验呗。参数估计是否显著，然后残差是否还有ARCH效应。

用的是R里面的fGarch包
> library(fGarch)

omega - the constant coefficient of the variance equation, by default 1e-6;

alpha - the value or vector of autoregressive coefficients, by default 0.1, specifying a model of order 1;

beta - the value or vector of variance coefficients, by default 0.8, specifying a model of order 1;

The values for the linear part are:

mu - the mean value, by default NULL;

ar - the autoregressive ARMA coefficients, by default NULL;

ma - the moving average ARMA coefficients, by default NULL.

The parameters for the conditional distributions are:

skew - the skewness parameter (also named "xi"), by default 0.9, effective only for the "dsnorm", the "dsged", and the "dsstd" skewed conditional distributions;

shape - the shape parameter (also named "nu"), by default 2 for the "dged" and "dsged", and by default 4 for the "dstd" and "dsstd" conditional distributions