各位大虾,有个菜鸟问题,请大家帮助,
在计算期权的定价B-S模型中,需要挂钩资产收益率的波动率。用了eviews 中的garch(1,1)来估计,
但是在输出结果后,却读不懂输出结果,不知道哪个数据才是我需要的波动率,下面是eviews输出的结构,请高人指点。在此多谢先
Dependent Variable: R
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 05/11/09 Time: 00:23
Sample (adjusted): 1/05/2006 12/28/2007
Included observations: 478 after adjustments
Convergence achieved after 24 iterations
Variance backcast: ON
GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*GARCH(-1)
Coefficient Std. Error z-Statistic Prob.
C 0.001793 0.001509 1.188045 0.2348
Variance Equation
C 6.32E-05 1.42E-05 4.436923 0.0000
RESID(-1)^2 0.169790 0.042445 4.000218 0.0001
GARCH(-1) 0.783152 0.040963 19.11832 0.0000
R-squared -0.005439 Mean dependent var 0.004728
Adjusted R-squared -0.011802 S.D. dependent var 0.039842
S.E. of regression 0.040076 Akaike info criterion -3.961765
Sum squared resid 0.761292 Schwarz criterion -3.926873
Log likelihood 950.8619 Durbin-Watson stat 1.694362