一共有88个数据,我想通过前66个数据建立一个garch模型,然后预测后22个数据,我照着matlab中的函数解释编的代码,但是出来的结果不知道是什么东西。。。求帮助啊~
y = xlsread('残差.xls');
Residuals = y - mean(y);
[H,pValue,stat,cValue] = archtest(Residuals,[10 15 20 ],0.05);%arch检验
%参数估算
ToEs*****l = garch(1,1);
[Es*****l,EstParamCov,logL,info] = estimate(ToEs*****l,y);
se = sqrt(diag(EstParamCov));%the estimate standard errors
%预测
rng('default')
[V,Y] = simulate(Es*****l,66);
Vf1 = forecast(Es*****l,22,'Y0',Y);
figure
plot(V,'Color',[.7,.7,.7])
hold on
plot(67:88,Vf1,'r','LineWidth',2);
title('Forecasted Conditional Variances')
legend('Observed','Forecasts with Presamples',...
'Location','NorthEast')
hold off