各位老师、学长:
为什么我用Winrats估计的线性模型、MVGARCH的系数和统计量是这样的(很多都是0)?是一开始数据导入的问题吗?
谢谢!
OPEN DATA "E:\NData1.xls"
CALENDAR(D) 2013:1:2
ALL 2013:11:20
DATA(FORMAT=XLS,ORG=COLUMNS) 2013:01:02 2013:11:20 shibor sz qz
linreg shibor 2013:01:02 2013:11:20
# constant sz qz
Linear Regression - Estimation by Least Squares
Dependent Variable SHIBOR
Daily(5) Data From 2013:01:02 To 2013:11:20
Usable Observations 231 Degrees of Freedom 228
Centered R**2 1.000000 R Bar **2 1.000000
Uncentered R**2 1.000000 T x R**2 231.000
Mean of Dependent Variable -0.000364272
Std Error of Dependent Variable 0.011686381
Standard Error of Estimate 0.000000000
Sum of Squared Residuals 1.64858e-33
Log Likelihood 9019.38730
Durbin-Watson Statistic 1.889814
Variable Coeff Std Error T-Stat Signif
*******************************************************************************
1. Constant 0.000000 0.000000 0.00000 0.00000000
2. SZ 1.000000 0.000000 0.00000 0.00000000
3. QZ -0.000000 0.000000 0.00000 0.00000000
*******************************************************************************
garch(p=1,q=1,mv=dcc,method=bfgs) / shibor sz qz
MV_GARCH, DCC - Estimation by BFGS
Convergence in 1 Iterations. Final criterion was 0.0000000 <= 0.0000100
Daily(5) Data From 2013:01:02 To 2013:11:20
Usable Observations 231
Log Likelihood NA
Variable Coeff Std Error T-Stat Signif
*******************************************************************************
1. Mean(1) -3.6427e-04 0.0000 0.00000 0.00000000
2. Mean(2) -3.6427e-04 0.0000 0.00000 0.00000000
3. Mean(3) 1.7649e-04 0.0000 0.00000 0.00000000
4. C(1) 1.3598e-04 0.0000 0.00000 0.00000000
5. C(2) 1.3598e-04 0.0000 0.00000 0.00000000
6. C(3) 1.4166e-07 0.0000 0.00000 0.00000000
7. A(1) 0.0500 0.0000 0.00000 0.00000000
8. A(2) 0.0500 0.0000 0.00000 0.00000000
9. A(3) 0.0500 0.0000 0.00000 0.00000000
10. B(1) 0.4500 0.0000 0.00000 0.00000000
11. B(2) 0.4500 0.0000 0.00000 0.00000000
12. B(3) 0.4500 0.0000 0.00000 0.00000000
13. DCC(1) 0.2000 0.0000 0.00000 0.00000000
14. DCC(2) 0.2000 0.0000 0.00000 0.00000000