对2个变量进行MGARCH-BEKK(1,1)模型检验,检验结果见下方。有几个问题想请教各位大神:
1、最优滞后期是6,程序写的对吗?
2、MGARCH-BEKK(1,1)得出的估值参数应该是13个还是17个?
3、如果在程序中把RU和RS的位置互换,得出的结果会不一样,这是为什么呢?4、检验结果中的前6行分别是什么意思?
OPEN DATA"E:\winrats7xls.xls"
DATA(FORMAT=xls,ORG=COLUMNS) 1 2693Ru Rs
system(model=var1)
variables Ru Rs
lags 6
det constant
end(system)
garch(p=1,q=1,model=var1,mv=bekk,pmethod=simplex,piters=10,hmatrices=hh,rvectors=rr)/ Ru Rs
MV-GARCH, BEKK - Estimation by BFGS
Convergence in 91 Iterations. Final criterion was 0.0000022 <= 0.0000100
Usable Observations 2687
Log Likelihood 22619.05515127
Variable Coeff Std Error T-Stat Signif
*******************************************************************************
1. RU{6} 0.013937368 0.018157691 0.76757 0.44274043
2. RS{6} -0.001035040 0.000843457 -1.22714 0.21976957
3. Constant -0.000035904 0.000013837 -2.59474 0.00946632
4. RU{6} -0.016561631 0.264883843 -0.06252 0.95014545
5. RS{6} -0.045091461 0.017341472 -2.60021 0.00931669
6. Constant 0.000232153 0.000291859 0.79543 0.42636406
7. C(1,1) 0.000098929 0.000016236 6.09311 0.00000000
8. C(2,1) -0.001801960 0.000225770 -7.98141 0.00000000
9. C(2,2) -0.000000012 0.000321824-3.62027e-05 0.99997111
10. A(1,1) 0.447628153 0.048931349 9.14809 0.00000000
11. A(1,2) 0.235613795 0.249691029 0.94362 0.34536316
12. A(2,1) -0.011660973 0.001194931 -9.75870 0.00000000
13. A(2,2) 0.271620178 0.020519908 13.23691 0.00000000
14. B(1,1) 0.888258447 0.021836773 40.67718 0.00000000
15. B(1,2) -0.184374236 0.114427704 -1.61127 0.10712030
16. B(2,1) 0.003411092 0.000202313 16.86049 0.00000000
17.B(2,2) 0.958899889 0.005820574 164.74318 0.00000000