目前做一个时间序列ARCH过程的拟合,可是就是效果不太好,而且预测的程序写不对,跪求各位路过高人指教
data zlh;
input x@@;
t=_n_-1;
output;
cards;
100.3 99.9 100.7 99.7 99 98.7 98.6 98.6 98.5 98.9 98.8 99
98.8 98.7 98.2 97.8 97.8 97.9 98.6 98.7 99.2 99.4 99.1 99
99.8 100.7 99.8 99.7 100.1 100.5 100.5 100.3 100 100 101.3 101.5
101.2 100 100.8 101.6 101.7 101.4 101.5 101 99.9 100.2 99.7 99.7
99 100 99.2 98.7 98.9 99.2 99.1 99.3 99.3 99.2 99.3 99.6
100.4 100.2 100.9 101 100.7 100.3 100.5 100.9 101.1 101.8 103 103.2
103.2 102.1 103 103.8 104.4 105 105.3 105.3 105.2 104.3 102.8 102.4
101.9 103.9 102.7 101.8 101.8 101.6 101.8 101.3 100.9 101.2 101.3 101.6
101.9 100.9 100.8 101.2 101.4 101.5 101 101.3 101.5 101.4 101.9 102.8
102.2 102.7 103.3 103 103.4 104.4 105.6 106.5 106.2 106.5 106.9 106.5
107.1 108.7 108.3 108.5 107.7 107.1 106.3 104.9 104.6 104 102.4 101.2
;
run;
proc gplot data=zlh;
plot x*t=1;
symbol1 c=black i=join v=star;
data b;
x=.;
do t=132 to 144;
output;
end;
data zlh;
set zlh;
by t;
run;
proc autoreg data=zlh;
model x=t/nlag=5 dwprob archtest;
model x=t/nlag=2 garch=(p=1,q=1);
output out=p p=xp predicted=xhat;后面的日志总是说找不到xhat
run;
proc gplot data=p;
plot x*t=2 xp*t=3 xhat*t=4/overlay;
symbol2 v=star i=none c=black;
symbol3 v=none i=join c=red w=2;
symbol3 v=none i=join c=green w=2;
run;
