有下列问题：
IGARCH的NA值如何解释。
IGARCH的参数是什么分布。
模型拟合结果不好的原因
Sign Bias Test是怎么检验的？
GARCH Model Fit **---------------------------------*
Conditional Variance Dynamics -----------------------------------GARCH Model : iGARCH(1,1)Mean Model : ARFIMA(0,0,0)Distribution : norm
Estimate Std. Error t value Pr(>|t|)
mu 0.003838 0.020570 0.18657 0.851995
omega 0.000852 0.000746 1.14253 0.253235
alpha1 0.045750 0.017769 2.57475 0.010031
beta1 0.954250 NA NA NA
Robust Standard Errors:
Estimate Std. Error t value Pr(>|t|)
mu 0.003838 0.020683 0.18556 0.852792
omega 0.000852 0.000962 0.88543 0.375922
alpha1 0.045750 0.025459 1.79701 0.072334
beta1 0.954250 NA NA NA
LogLikelihood : -215.9005
Information Criteria
------------------------------------
Akaike 1.1284
Bayes 1.1590
Shibata 1.1282
Hannan-Quinn 1.1405
Q-Statistics on Standardized Residuals
------------------------------------
statistic p-value
Lag[1] 0.008051 0.9285
Lag[p+q+1][1] 0.008051 0.9285
Lag[p+q+5][5] 0.423446 0.9947
d.o.f=0
H0 : No serial correlation
Q-Statistics on Standardized Squared Residuals
------------------------------------
statistic p-value
Lag[1] 0.3444 0.5573
Lag[p+q+1][3] 2.2794 0.1311
Lag[p+q+5][7] 5.3406 0.3757
d.o.f=2
ARCH LM Tests
------------------------------------
Statistic DoF P-Value
ARCH Lag[2] 2.277 2 0.3203
ARCH Lag[5] 4.495 5 0.4805
ARCH Lag[10] 7.757 10 0.6526
Nyblom stability test
------------------------------------
Joint Statistic: 0.2227
Individual Statistics:
mu 0.12868
omega 0.07717
alpha1 0.05721
Asymptotic Critical Values (10% 5% 1%)
Joint Statistic: 0.846 1.01 1.35
Individual Statistic: 0.35 0.47 0.75
Sign Bias Test
------------------------------------
t-value prob sig
Sign Bias 1.0936 0.2748
Negative Sign Bias 0.2742 0.7840
Positive Sign Bias 0.8935 0.3721
Joint Effect 1.4241 0.6999
Adjusted Pearson Goodness-of-Fit Test:
------------------------------------
group statistic p-value(g-1)
1 20 19.63 0.4172
2 30 24.11 0.7233
3 40 31.38 0.8022
4 50 41.38 0.7719
Elapsed time : 0.1209998
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