这是估计的结果,有几个问题请教(对于于红色部分):
1、sGARCH是不是就是通常的GARCH模型
2、Nyblom stability test这是检验什么的,怎么看结果?
3、Sign Bias Test这是检验什么的,怎么看结果?
4、Adjusted Pearson Goodness-of-Fit Test:这是检验什么的,怎么看结果?
*---------------------------------*
* GARCH Model Fit *
*---------------------------------*
Conditional Variance Dynamics
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GARCH Model : sGARCH(1,1)
Mean Model : ARFIMA(0,0,0)
Distribution : norm
Optimal Parameters
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Estimate Std. Error t value Pr(>|t|)
mu -0.000613 0.038549 -0.01591 0.987306
omega 0.031732 0.014252 2.22648 0.025982
alpha1 0.035230 0.008259 4.26561 0.000020
beta1 0.948095 0.011781 80.47725 0.000000
Robust Standard Errors:
Estimate Std. Error t value Pr(>|t|)
mu -0.000613 0.041494 -0.014781 0.988207
omega 0.031732 0.017222 1.842473 0.065406
alpha1 0.035230 0.011004 3.201608 0.001367
beta1 0.948095 0.014006 67.694152 0.000000
LogLikelihood : -1959.418
Information Criteria
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Akaike 3.4356
Bayes 3.4532
Shibata 3.4355
Hannan-Quinn 3.4422
Weighted Ljung-Box Test on Standardized Residuals
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statistic p-value
Lag[1] 0.4297 0.5121
Lag[2*(p+q)+(p+q)-1][2] 0.8813 0.5384
Lag[4*(p+q)+(p+q)-1][5] 1.5856 0.7188
d.o.f=0
H0 : No serial correlation
Weighted Ljung-Box Test on Standardized Squared Residuals
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statistic p-value
Lag[1] 1.480 0.2238
Lag[2*(p+q)+(p+q)-1][5] 5.508 0.1172
Lag[4*(p+q)+(p+q)-1][9] 7.861 0.1372
d.o.f=2
Weighted ARCH LM Tests
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Statistic Shape Scale P-Value
ARCH Lag[3] 1.791 0.500 2.000 0.1808
ARCH Lag[5] 2.578 1.440 1.667 0.3571
ARCH Lag[7] 4.242 2.315 1.543 0.3131
Nyblom stability test
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Joint Statistic: 1.4773
Individual Statistics:
mu 0.4045
omega 0.1551
alpha1 0.0543
beta1 0.1252
Asymptotic Critical Values (10% 5% 1%)
Joint Statistic: 1.07 1.24 1.6
Individual Statistic: 0.35 0.47 0.75
Sign Bias Test
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t-value prob sig
Sign Bias 0.8435 0.3991
Negative Sign Bias 0.7671 0.4432
Positive Sign Bias 1.1473 0.2515
Joint Effect 2.7315 0.4349
Adjusted Pearson Goodness-of-Fit Test:
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group statistic p-value(g-1)
1 20 66.89 3.005e-07
2 30 100.28 8.821e-10
3 40 89.79 7.007e-06
4 50 124.32 1.782e-08
Elapsed time : 0.34902