软件是EVIEWS7 序列R为指数收益率，lnv为去势去异方差交易量，经检验这些序列均为平稳序列
| Dependent Variable: R | | |
| Method: ML - ARCH (Marquardt) - Normal distribution |
| Date: 03/03/15 Time: 16:50 | | |
| Sample (adjusted): 3 1174 | | |
| Included observations: 1172 after adjustments |
| Convergence achieved after 29 iterations |
| MA Backcast: 2 | | | |
| Presample variance: backcast (parameter = 0.7) |
| GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) + C(6)*LNV2 |
| | | | |
| Variable | Coefficient | Std. Error | z-Statistic | Prob. |
| | | | |
| AR(1) | 0.223407 | 0.137437 | 1.625516 | 0.1041 |
| MA(1) | -0.219379 | 0.142647 | -1.53791 | 0.1241 |
| | | | |
| Variance Equation | | |
| | | | |
| C | 5.63E-06 | 1.02E-06 | 5.495437 | 0 |
| RESID(-1)^2 | 0.04115 | 0.008149 | 5.049965 | 0 |
| GARCH(-1) | 0.931746 | 0.010343 | 90.08062 | 0 |
| LNV2 | 3.14E-05 | 4.07E-06 | 7.713136 | 0 |
| | | | |
| R-squared | -0.001828 | Mean dependent var | 6.88E-05 |
| Adjusted R-squared | -0.002684 | S.D. dependent var | 0.014475 |
| S.E. of regression | 0.014495 | Akaike info criterion | -5.72216 |
| Sum squared resid | 0.245813 | Schwarz criterion | -5.69623 |
| Log likelihood | 3359.188 | Hannan-Quinn criter. | -5.71238 |
| Durbin-Watson stat | 2.026998 | | | |
| | | | |
| Inverted AR Roots | 0.22 | | | |
| Inverted MA Roots | 0.22 | | | |
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