Dependent Variable: H    
Method: ML - ARCH (Marquardt) - Generalized error distribution (GED)    
Date: 01/31/09   Time: 16:26    
Sample (adjusted): 8 1229    
Included observations: 1222 after adjustments    
Convergence achieved after 20 iterations    
Variance backcast: ON    
LOG(GARCH) = C(3) + C(4)*ABS(RESID(-1)/@SQRT(GARCH(-1))) +    
        C(5)*RESID(-1)/@SQRT(GARCH(-1)) + C(6)*LOG(GARCH(-1))    
    
 Coefficient Std. Error z-Statistic Prob. 
    
C 0.001111 0.000469 2.370233 0.0178
H(-7) 0.041243 0.028300 1.457376 0.1450
    
 Variance Equation   
    
C(3) -0.350286 0.070880 -4.941936 0.0000
C(4) 0.239160 0.036389 6.572230 0.0000
C(5) -0.058243 0.021691 -2.685130 0.0073
C(6) 0.978598 0.007443 131.4795 0.0000
    
GED PARAMETER 1.475420 0.092540 15.94357 0.0000
    
R-squared 0.002154     Mean dependent var  0.000300
Adjusted R-squared -0.002773     S.D. dependent var  0.025891
S.E. of regression 0.025927     Akaike info criterion  -4.938938
Sum squared resid 0.816746     Schwarz criterion  -4.909676
Log likelihood 3024.691     F-statistic  0.437184
Durbin-Watson stat 2.058119     Prob(F-statistic)  0.854272
    

Dependent Variable: H    
Method: ML - ARCH (Marquardt) - Student's t distribution    
Date: 01/31/09   Time: 12:20    
Sample (adjusted): 8 1229    
Included observations: 1222 after adjustments    
Convergence not achieved after 500 iterations    
Variance backcast: ON    
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)    
    
 Coefficient Std. Error z-Statistic Prob. 
    
C 0.001345 0.000483 2.782718 0.0054
H(-7) 0.026314 0.029853 0.881438 0.3781
    
 Variance Equation   
    
C 4.93E-06 2.22E-06 2.219181 0.0265
RESID(-1)^2 0.110477 0.018430 5.994508 0.0000
GARCH(-1) 0.886139 0.017629 50.26655 0.0000
    
T-DIST. DOF 9.362738 2.809602 3.332407 0.0009
    
R-squared 0.000758     Mean dependent var  0.000300
Adjusted R-squared -0.003351     S.D. dependent var  0.025891
S.E. of regression 0.025935     Akaike info criterion  -4.930435
Sum squared resid 0.817889     Schwarz criterion  -4.905353
Log likelihood 3018.496     F-statistic  0.184463
Durbin-Watson stat 2.057526     Prob(F-statistic)  0.968527
    
上文中红色的部分就是GED分布和T分布下的自由度参数吧。

呵呵，上面结果是我做论文时候分析出来的结果。

欢迎交流  我的QQ 353655061