估计出来一个garch模型的参数,结果如下:
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Dependent Variable: AEG
Method: ML - ARCH (Marquardt) - Generalized error distribution (GED)
Date: 03/05/14 Time: 13:01
Sample (adjusted): 7/03/2000 2/28/2014
Included observations: 3435 after adjustments
Convergence achieved after 12 iterations
MA Backcast: 6/30/2000
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
AR(1) -0.733648 0.120387 -6.094077 0.0000
MA(1) 0.724291 0.122872 5.894686 0.0000
Variance Equation
C 4.43E-06 1.31E-06 3.378567 0.0007
RESID(-1)^2 0.079941 0.008782 9.102977 0.0000
GARCH(-1) 0.916681 0.008863 103.4309 0.0000
GED PARAMETER 1.394785 0.042327 32.95249 0.0000
R-squared 0.002387 Mean dependent var -0.000402
Adjusted R-squared 0.002096 S.D. dependent var 0.032778
S.E. of regression 0.032744 Akaike info criterion -4.662695
Sum squared resid 3.680763 Schwarz criterion -4.651967
Log likelihood 8014.178 Hannan-Quinn criter. -4.658862
Durbin-Watson stat 2.062661
Inverted AR Roots -.73
Inverted MA Roots -.72
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其中GED PARAMETER后面的3个数字怎么看?第一个数字就是ged的自由度参数吗,是不是可以把残差的ged分布唯一确定下来了?那后面两个数字又代表什么?