用RATS估计了一个二元VAR-MGARCH-BEKK模型(考虑非对称效应),但不知道怎样根据结果写出条件均值方程和条件方差方程。想请各位大侠指点。
估计结果如下:
open data 'C:\Users\Thinkpad\Desktop\1'
data(format=xls,org=columns) 1 174 CNY CNH
table
Series Obs Mean Std Error Minimum Maximum
CNY 173 -0.0183855221 0.0957267077 -0.3683877853 0.2894270308
CNH 173 -0.0179848511 0.1094300288 -0.3554323012 0.3765596354
system(model=var1)
variables CNY CNH
lags 1
det constant
end(sysytem)
garch(p=1,q=1,model=var1,distrib=t,asymmetric,mv=bek,pmethod=simplex,piters=10,hmatrices=hh,rvectors=rr) / CNY CNH
MV-GARCH, BEKK - Estimation by BFGS
Convergence in 50 Iterations. Final criterion was 0.0000068 <= 0.0000100
Usable Observations 172
Log Likelihood 379.3068
Variable Coeff Std Error T-Stat Signif
************************************************************************************
1. CNY{1} 0.120014985 0.086876996 1.38144 0.16714503
2. CNH{1} -0.070706131 0.076222502 -0.92763 0.35360054
3. Constant -0.019171291 0.005224896 -3.66922 0.00024329
4. CNY{1} 0.536355348 0.129673786 4.13619 0.00003531
5. CNH{1} -0.196455873 0.090268101 -2.17636 0.02952836
6. Constant -0.016409842 0.006812670 -2.40872 0.01600839
7. C(1,1) 0.040213653 0.015841558 2.53849 0.01113316
8. C(2,1) 0.066202288 0.029699107 2.22910 0.02580723
9. C(2,2) 0.017267348 0.086441477 0.19976 0.84167011
10. A(1,1) 0.561298762 0.152567015 3.67903 0.00023412
11. A(1,2) 1.122396605 0.232818464 4.82091 0.00000143
12. A(2,1) -0.417761885 0.107542472 -3.88462 0.00010249
13. A(2,2) -0.391185827 0.136325286 -2.86950 0.00411117
14. B(1,1) 0.456682559 0.170668024 2.67585 0.00745393
15. B(1,2) -0.256242824 0.229082648 -1.11856 0.26332764
16. B(2,1) 0.274369575 0.180530367 1.51980 0.12856191
17. B(2,2) 0.335769793 0.193014864 1.73961 0.08192824
18. D(1,1) -0.082857461 0.244070373 -0.33948 0.73424677
19. D(1,2) -0.719191001 0.349516149 -2.05768 0.03962124
20. D(2,1) 0.395401016 0.207289016 1.90749 0.05645761
21. D(2,2) 0.660664489 0.224041816 2.94884 0.00318964
22. Shape 9.166530594 3.541953677 2.58799 0.00965386