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论文用了R语言的MSGARCH包,summary(fit)之后出来的结果和我想要的不太一样,不知道是我误解了结果的含义了吗?给出文档里的例子运行处的结果:
[1] "Specification Type: Markov-Switching"
[1] "Specification Name: sGARCH_normal_sym sGARCH_normal_sym"
[1] "Number of parameters in each variance model: 3 3"
[1] "Number of parameters in each distribution: 0 0"
[1] "Default parameters:"
alpha0_1 alpha1_1 beta_1 alpha0_2 alpha1_2 beta_2 P P
[1,] 0.1 0.1 0.8 0.1 0.1 0.8 0.5 0.5
[1] "Bayesian posterior mean:"
alpha0_1 alpha1_1 beta_1 alpha0_2 alpha1_2 beta_2 P
0.12223146 0.05426799 0.80725369 0.07703742 0.13679255 0.84937392 0.36018926
P
0.52591910
[1] "Posterior variance-covariance matrix"
alpha0_1 alpha1_1 beta_1 alpha0_2 alpha1_2
alpha0_1 0.0006957984 -3.601564e-04 2.432727e-04 0.0001329510 0.0004511976
alpha1_1 -0.0003601564 1.252867e-03 -1.035260e-03 0.0002644580 -0.0005999098
beta_1 0.0002432727 -1.035260e-03 1.137112e-03 -0.0003112349 0.0007689391
alpha0_2 0.0001329510 2.644580e-04 -3.112349e-04 0.0002906167 0.0002625914
alpha1_2 0.0004511976 -5.999098e-04 7.689391e-04 0.0002625914 0.0018034703
beta_2 -0.0005062278 3.934693e-04 -6.010034e-04 -0.0003437848 -0.0017054647
P -0.0009753686 2.296599e-03 -1.746749e-03 0.0008703552 0.0003149572
P -0.0009312405 -2.109432e-05 9.152626e-05 -0.0005965544 -0.0011425426
beta_2 P P
alpha0_1 -0.0005062278 -0.0009753686 -9.312405e-04
alpha1_1 0.0003934693 0.0022965990 -2.109432e-05
beta_1 -0.0006010034 -0.0017467485 9.152626e-05
alpha0_2 -0.0003437848 0.0008703552 -5.965544e-04
alpha1_2 -0.0017054647 0.0003149572 -1.142543e-03
beta_2 0.0017153651 -0.0006068172 1.324218e-03
P -0.0006068172 0.0064336152 -5.376653e-04
P 0.0013242176 -0.0005376653 1.979202e-03
[1] "Posterior mean transition matrix:"
t = 1 t = 2
t + 1 = 1 0.3601893 0.5259191
t + 1 = 2 0.6398107 0.4740809
[1] "Posterior mean stable probabilities:"
Stable probabilities
State 1 0.4511501
State 2 0.5488499
[1] "Posterior mean unconditional volatility:"
State 1 State 2
[1,] 0.9395083 2.35985
Acceptance rate: 0.457
AIC: 3293.035
BIC: 3332.297
DIC: 3287.689
标黄的两个数是两状态的转换概率吗?这么低的话不能说有状态转换吧,一两天转换一次?这是文档给的例子啊,,,
求告知求解答啊!非常感激