因为现在写论文碰到一个问题,已经通过拟合得出了一个EGARCH-GED模型的所有参数
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* GARCH Model Fit *
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Conditional Variance Dynamics
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GARCH Model : eGARCH(1,1)
Mean Model : ARFIMA(0,0,0)
Distribution : ged
Optimal Parameters
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Estimate Std. Error t value Pr(>|t|)
mu 0.000298 0.000157 1.9053 0.056735
omega -0.081988 0.012698 -6.4565 0.000000
alpha1 -0.015671 0.008581 -1.8261 0.067836
beta1 0.990228 0.001561 634.3311 0.000000
gamma1 0.139906 0.018577 7.5312 0.000000
shape 1.220093 0.041395 29.4742 0.000000
Robust Standard Errors:
Estimate Std. Error t value Pr(>|t|)
mu 0.000298 0.000142 2.1075 0.035071
omega -0.081988 0.009977 -8.2175 0.000000
alpha1 -0.015671 0.009734 -1.6099 0.107415
beta1 0.990228 0.001321 749.4998 0.000000
gamma1 0.139906 0.022872 6.1170 0.000000
shape 1.220093 0.046056 26.4916 0.000000
LogLikelihood : 9979.3731
Information Criteria
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Akaike -5.5485
Bayes -5.5381
Shibata -5.5485
Hannan-Quinn -5.5448
Weighted Ljung-Box Test on Standardized Residuals
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statistic p-value
Lag[1] 4.607 0.031847
Lag[2*(p+q)+(p+q)-1][2] 4.609 0.051750
Lag[4*(p+q)+(p+q)-1][5] 10.422 0.007173
d.o.f=0
H0 : No serial correlation
Weighted Ljung-Box Test on Standardized Squared Residuals
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statistic p-value
Lag[1] 1.014 0.3140
Lag[2*(p+q)+(p+q)-1][5] 3.381 0.3418
Lag[4*(p+q)+(p+q)-1][9] 4.718 0.4720
d.o.f=2
Weighted ARCH LM Tests
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Statistic Shape Scale P-Value
ARCH Lag[3] 0.6228 0.500 2.000 0.4300
ARCH Lag[5] 1.4654 1.440 1.667 0.6015
ARCH Lag[7] 2.3936 2.315 1.543 0.6344
Nyblom stability test
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Joint Statistic: 1.7842
Individual Statistics:
mu 0.4642
omega 0.1765
alpha1 0.1592
beta1 0.1673
gamma1 0.2047
shape 0.6026
Asymptotic Critical Values (10% 5% 1%)
Joint Statistic: 1.49 1.68 2.12
Individual Statistic: 0.35 0.47 0.75
Sign Bias Test
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t-value prob sig
Sign Bias 0.7616 0.44636
Negative Sign Bias 0.2057 0.83704
Positive Sign Bias 1.7123 0.08693 *
Joint Effect 2.9742 0.39562
Adjusted Pearson Goodness-of-Fit Test:
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group statistic p-value(g-1)
1 20 26.85 0.10827
2 30 31.18 0.35708
3 40 50.79 0.09791
4 50 49.13 0.46788
Elapsed time : 2.1700621
希望能得到这个序列在未来90天内的模拟路径,次数在1w次左右。通过R应该怎么实现呢T.T
新人求教...ORZ