stata做garch如何在方差等式中加入虚拟变量

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鐢⊿TATA12鎬庝箞鍋DCCMGARCH妯″瀷鍟?
绛旓細1. 鍦STATA 12涓瀯寤篋CC-MGARCH妯″瀷鐨勭涓姝ユ槸纭繚宸茬粡瀹夎浜嗙浉搴旂殑STATA绋嬪簭鍖咃紝鍙互閫氳繃net install鍛戒护鏉ュ畨瑁呫2. 鍚姩STATA鍚庯紝搴斿厛鍔犺浇鎵闇鐨凪GARCH宸ュ叿鍖咃紝浣跨敤鍛戒护`use mgarch`銆3. 鍦ㄩ夋嫨妯″瀷绫诲瀷鏃讹紝搴旀寚瀹氫负DCC妯″瀷銆傚湪鍛戒护绐楀彛杈撳叆`garch model`锛岀劧鍚庨夋嫨`dcc`閫夐」銆4. 璁惧畾濂芥ā鍨嬪弬鏁...

stata鍛戒护garch(1/2)鍜実arch(1)鏈変粈涔堝尯鍒悧,寤烘ā鐨勭粨鏋滀笉涓鏍?_鐧惧害...
绛旓細STATA 鐨 garch 鍛戒护鐢ㄤ簬鎷熷悎 GARCH 妯″瀷锛屽叾涓 garch(1/2) 琛ㄧず鎷熷悎鐨勬槸 GARCH锛1锛1锛夋ā鍨嬶紝garch锛1锛夎〃绀烘嫙鍚堢殑鏄 GARCH锛1锛0锛夋ā鍨嬨侴ARCH锛1锛1锛夋ā鍨嬪拰 GARCH锛1锛0锛夋ā鍨嬬殑鍖哄埆鍦ㄤ簬锛屽墠鑰呭寘鍚竴闃跺樊鍒嗛」锛屽悗鑰呬笉鍖呭惈銆傚洜姝わ紝涓よ呯殑鎷熷悎缁撴灉鍙兘涓嶅悓銆侴ARCH 妯″瀷鏄弿杩伴噾铻嶅競鍦烘椂闂村簭鍒楁暟鎹...

杩愮敤stata瀹炶瘉鍒嗘瀽寤虹珛garch妯″瀷閬囧埌鐨勯棶棰
绛旓細鐜板疄鏁版嵁鍩烘湰寰堥毦澶勭悊鍒板畬缇庣殑锛屽ぇ鑷翠笂宸笉澶氬氨鍙互浜嗭紝浣犺繖autocorrelation涔熶笉鏄緢涓ラ噸鍟婏紝鎴戣寰楀彲浠ヤ竴鐢ㄣ傚彟澶栬偂鎸囦笂杩樻槸灏介噺鐢garch鍚э紝涓鑸紙1,1锛夊氨鑳芥湁涓嶉敊鐨勪及鍊间簡锛岄珮浜嗗弽鑰屽鍔犳ā鍨嬪鏉傜▼搴︺傚緢澶歱aper閮芥寚鍑篻arch姣攁rima濂藉浜

鎬庝箞鐢╯tata 寤虹珛gjr grach妯″瀷
绛旓細鍦garch妯″瀷閫夋嫨gjr灏卞彲浠

鏃堕棿搴忓垪鍒嗘瀽鐨GARCH妯″瀷鐢ㄤ粈涔堣蒋浠跺仛濂
绛旓細鍙互鐢╡views鎴栬stata

濡備綍鏍规嵁娈嬪樊搴忓垪鑷浉鍏虫楠屽拰寮傛柟宸楠岀粰garch妯″瀷瀹氶樁
绛旓細姝ゅ锛岃繕鏈墂hite妫楠屻丟-Q妫楠屽拰Breuch-Pagan LM妫楠屻倃hite妫楠屼笉鏄痵tata瀹樻柟鐨勫懡浠わ紝闇瑕佸崟鐙ˉ涓侊紝G-Q妫楠屽垯闇瑕佸鍙橀噺鏈夎緝澶氱殑鍏堥獙璁よ瘑銆傛垜閲嶇偣浠嬬粛涓涓婤-P LM妫楠屽湪stata涓鐨瀹炵幇锛氬湪鎵ц瀹屽洖褰掓寚浠egress浠ュ悗锛岀敤 hettest 鍙橀噺鍚 杩欎釜鍛戒护灏辫兘瀹炵幇銆傚叾涓彉閲忓悕鍙寘鎷櫎甯告暟椤逛互澶栫殑鎵鏈夎В閲婂彉閲...

M-GARCH妯″瀷鍦stata涓浣曞疄鐜?
绛旓細stata12鍙互鍋歁-GARCH妯″瀷 help mgarch

dcc-garch鍘熺悊绠浠嬪拰妯″瀷瀹炵幇
绛旓細DCC妯″瀷浼拌瀹屽弬鏁板悗锛岃繕瑕杩涜鍋囪妫楠岋紝妫楠屽姩鎬佺浉鍏崇郴鏁板拰甯哥浉鍏崇郴鏁版槸鍚︽湁鏄捐憲宸紓銆傦紙stata鐨勫懡浠や负锛歵est _b[Adjustment:lambda1]=_b[Adjustment:lambda2]锛夊彲浠ュ弬鑰冭鏂囷細 DCC-MVGARCH妯″瀷璁＄畻鏂规硶鐮旂┒鍙婂湪閲戣瀺甯傚満涓殑搴旂敤 GARCH甯稿父鍜孋opula鍑芥暟缁撳悎锛孋opula-GARCH鍜孌CC-GARCH鐨勫姛鑳界被浼硷紝閮芥槸鐪嬩笉...

浣犲ソ,鎴戠敤EVIEWS缂栫▼浜屽厓GARCH妯″瀷,鎸夌収涓婇潰鐨勬柟娉曚篃鎬绘彁绀衡.Wf1 not...
绛旓細鐢╯tata鐨刴garch鍛戒护 鍙互鐩存帴鍋氫簩鍏僩arch妯″瀷 杩欎釜鎴戝仛鐨勫緢澶氬暒

鐢⊿TATA 12鎬庝箞鍋DCC MGARCH妯″瀷鍟?
绛旓細help mgarch 閫夋嫨DCC model dcc mgarch妯″瀷鎴戝仛澶氬暒

扩展阅读：xline is unrecognized ... caplog is unrecognized ... stata版本mp se ic ... stata do file ... register stata online ... outreg2 is unrecognized ... unrecognized command ... gmm ... stata无法安装asdoc ...