我的代码是这样写的:myspec1=ugarchspec(variance.model=list(model="fGARCH",garchOrder=c(1,1),submodel="GARCH"),mean.model = list(armaOrder = c(1, 0), include.mean = TRUE,regressor=ssecrt),distribution.model = "norm")
myfit1=ugarchfit(myspec1,data=ptfzrt,solver="solnp")其中,外生变量时ssecrt,拟合的数据是ptfzrt
拟合结果是这样的: Estimate Std. Error t value Pr(>|t|)mu 0.002562 0.001299 1.9725 0.048554ar1 0.093450 0.046798 1.9969 0.045837omega 0.000158 0.000073 2.1611 0.030686alpha1 0.118096 0.045725 2.5827 0.009802beta1 0.702471 0.110001 6.3860 0.000000
最后拟合出的garch模型没有外生变量系数这一项的??Warning message:
unidentified option(s) in mean.model:
regressor
求老师们解释解释