在模型识别时已经确定arch现象已经存在ar(3) ma(1)很显著,但进行arch估计时二者确又很不显著,arch和garch项显著性较好,这是怎么回事情啊!arch是否存在,谢谢指导!
模型的识别
Dependent Variable: DRT
Method: Least Squares
Date: 03/04/10 Time: 13:45
Sample(adjusted): 4 993
Included observations: 990 after adjusting endpoints
Convergence achieved after 13 iterations
Backcast: 2 3
Variable Coefficient Std. Error t-Statistic Prob.
AR(2) -0.947878 0.043341 -21.86998 0.0000
MA(2) 0.933617 0.049042 19.03728 0.0000
R-squared 0.004089 Mean dependent var -7.25E-06
Adjusted R-squared 0.003081 S.D. dependent var 0.000225
S.E. of regression 0.000224 Akaike info criterion -13.96509
Sum squared resid 4.97E-05 Schwarz criterion -13.95519
Log likelihood 6914.719 Durbin-Watson stat 2.091176
而在建立过程中
Dependent Variable: DRT
Method: ML - ARCH
Date: 03/05/10 Time: 15:30
Sample(adjusted): 4 993
Included observations: 990 after adjusting endpoints
Convergence achieved after 1 iterations
Backcast: 2 3
Coefficient Std. Error z-Statistic Prob.
SQR(GARCH) -0.029551 0.047736 -0.619056 0.5359
AR(2) 0.005000 0.584685 0.008552 0.9932
MA(2) 0.005000 0.587329 0.008513 0.9932
Variance Equation
C 2.64E-08 3.21E-08 0.822385 0.4109
ARCH(1) 0.150000 0.066055 2.270819 0.0232
GARCH(1) 0.600000 0.049614 12.09327 0.0000
R-squared -0.000653 Mean dependent var -7.25E-06
Adjusted R-squared -0.005738 S.D. dependent var 0.000225
S.E. of regression 0.000225 Akaike info criterion -13.92238
Sum squared resid 4.99E-05 Schwarz criterion -13.89270
Log likelihood 6897.580 Durbin-Watson stat 2.089808
Inverted AR Roots .07 -.07
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