用winbugs做GARCH-JUMP模型,由于是新手,写了一段模型,不知道是否有错误,请大神指教一下~
model
{for (t in 2:T) { r[t]<-a+x[t]+z[t]
x[t]<-sqrt(h[t]*e[t])
e[t]~dnorm(0,1)
h[t]<-b1+b2*pow(x[t-1],2)+b3*h[t-1]
for(k in 1:N[t]) { Y[t,k]<-sum(y[t,k])
z[t]<-Y[t,k]-c1*p[t]
p[t]<-d0+d1*p[t-1]+d2*pow(z[t-1],2)+d3*pow(z[t-1],2)*step(z[t-1])
N[t]~dpois(p[t])
y[t,k]~dnorm(c1,s1) }
}
a~dnorm(2,0.001)
b1~dunif(0,1)
b2~dunif(0,0.3)
b3~dunif(0.6,1)
d0~dunif(0,0.2)
d1~dunif(0,0.7)
d2~dunif(0,0.06)
d3~dunif(0,0.03)
c1~dnorm(0,0.002)
s1~ dgamma(4,0.06)
}