如题,结果...
MV-GARCH, BEKK - Estimation by BFGS
Convergence in 41 Iterations. Final criterion was 0.0000000 <= 0.0000100
Usable Observations 3756
Log Likelihood -17550.0315
Variable Coeff Std Error T-Stat Signif
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1. WTIT{1} -0.049246915 0.015311467 -3.21634 0.00129836
2. C3T{1} -0.018759957 0.010523530 -1.78267 0.07464041
3. Constant 0.048581413 0.031232466 1.55548 0.11983228
4. WTIT{1} 0.047697430 0.015861760 3.00707 0.00263779
5. C3T{1} 0.013707745 0.018244534 0.75133 0.45245145
6. Constant 0.023369505 0.043126712 0.54188 0.58790115
7. C(1,1) 0.204028395 0.027072929 7.53625 0.00000000
8. C(2,1) -0.061232769 0.052751876 -1.16077 0.24573565
9. C(2,2) 0.286342083 0.041485770 6.90218 0.00000000
10. A(1,1) 0.214921805 0.012155312 17.68131 0.00000000
11. A(1,2) -0.001487722 0.012527466 -0.11876 0.90546804
12. A(2,1) -0.007208425 0.008891635 -0.81070 0.41753949
13. A(2,2) 0.223424160 0.016365340 13.65228 0.00000000
14. B(1,1) 0.973878965 0.003004267 324.16526 0.00000000
15. B(1,2) 0.001997833 0.003050474 0.65493 0.51251570
16. B(2,1) 0.002522954 0.002287377 1.10299 0.27003140
17. B(2,2) 0.970109689 0.004419366 219.51329 0.00000000