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附件是EGARCH的winbugs模型,求帮助!!!
model
{
# Measurement Equation
ysigma20 <- 1/(logsigma20)
y0 ~ dnorm(alpha, ysigma20)
ymean[1] <- alpha + beta * y0
y[1] ~ dnorm(ymean[1], ysigma2[1])
for(t in 2:T){
ymean[t] <- alpha + beta * y[t-1]
ysigma2[t] <- 1/(sigma2[t])
y[t] ~ dnorm(ymean[t], ysigma2[t])
}
# State Equation
logsigma20 <- mu
logsigma2[1] <- mu/(1-phi)
sigma[1] <- exp(logsigma2[1]/2)
sigma2[1] <- pow(sigma[1], 2)
ysigma2[1] <- 1/(sigma2[1])
logsigma2[2] <- mu + phi * logsigma2[1] + psi1 * ((y[1]-alpha-beta * y0)/sigma[1]) + psi2 * abs((y[1]-alpha-beta * y0)/sigma[1])
sigma[2] <- exp(logsigma2[2]/2)
sigma2[2] <- pow(sigma[2], 2)
for(t in 3:T){
logsigma2[t] <- mu + phi * logsigma2[t-1] + psi1 * ((y[t-1]-alpha-beta * y[t-2])/sigma[t-1]) + psi2 * abs((y[t-1]-alpha-beta * y[t-2])/sigma[t-1])
sigma[t] <- exp(logsigma2[t]/2)
sigma2[t] <- pow(sigma[t], 2)
}
# Piror Distribution
alpha ~ dnorm(0, 1)
beta ~ dnorm(0, 1)
mu ~ dunif(0, 1)
phi ~ dunif(0, 1)
psi1 ~ dunif(0, 1)
psi2 ~ dunif(0, 1)
}