如下是一个GARCH(1,1)模型,因变量是一支股票的价格。方差方程的结果因该是波动率。看了一些资料说分析ARCH项和GARCH项,可解释都没有很具体,求各位大神帮助。怎么分析这个模型,分析哪些指标?另外方差方程模拟出来的波动率怎么解释?
GARCH = C(9) + C(10)*RESID(-1)^2 + C(11)*GARCH(-1)
Variable
Coefficient
Std. Error
z-Statistic
Prob.
C
0.000600
0.000546
1.099519
0.2715
AR(1)
-0.789438
0.042511
-18.57022
0.0000
AR(2)
0.865126
0.061227
14.12992
AR(3)
0.670819
0.070137
9.564456
MA(1)
0.822806
0.030486
26.98963
MA(2)
-0.782308
0.067575
-11.57694
MA(3)
-0.713611
0.061068
-11.68555
MA(4)
-0.098354
0.030316
-3.244337
0.0012
Variance Equation
8.80E-06
2.96E-06
2.976203
0.0029
RESID(-1)^2
0.049174
0.009669
5.085875
GARCH(-1)
0.931884
0.013446
69.30803
R-squared
0.028496
Mean dependent var
0.000406
Adjusted R-squared
0.022648
S.D. dependent var
0.022033
S.E. of regression
0.021782
Akaike info criterion
-4.886372
Sum squared resid
0.551815
Schwarz criterion
-4.838788
Log likelihood
2871.971
Hannan-Quinn criter.
-4.868426
Durbin-Watson stat
2.026736
Inverted AR Roots
.93
-.75
-.97
Inverted MA Roots
.94
-.18
-.60
-.98
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