Eviews中怎么操作AR-GARCH模型 Eviews操作与GARCH模型问题
\u5728eviews\u4e2d\u600e\u4e48\u64cd\u4f5cAR-GARCH-POT\u6a21\u578b\uff1f\u8bf7\u8d50\u6559\u554a~~~~\u5927\u54e5\u54e5\u3002\u90a3\u91cc\u9762\u90fd\u6709\u7684\uff0c\u4f60\u597d\u597d\u627e\u627e\u554a\uff0c\u7528\u8f6f\u4ef6\u641e\u4e00\u822c\u822c\u7684\u6a21\u578b\u4e0d\u7b97\u96be\uff0c\u96be\u5f97\u662f\u628a\u8ba1\u91cf\u5403\u900f\uff01
\u6211\u8fd9\u91cc\u6709\u5173\u4e8eGARCH\u6a21\u578b\u548cEviews\u64cd\u4f5c\u7684\u8d44\u6599\u300aGARCH\u6a21\u578b\u4e0e\u5e94\u7528\u7b80\u4ecb\u300b\u3001\u300aeviews\u64cd\u4f5c\u624b\u518c\u300b\uff0c\u90fd\u662fWord\u7248\u7684\u3002\u8981\u7684\u8bdd\u6211\u53d1\u7ed9\u4f60\uff0c\u6211\u7684\u90ae\u7bb1\[email protected]\u3002
以AR(3)-GARCH(2,1)模型为例:首先在主窗口输入
LS RR RR(-1) (-2) (-3)
得出
Variable Coefficient Std. Error t-Statistic Prob.
RR(-1) 0.007606 0.059014 0.128883 0.8975
RR(-2) 0.058005 0.058549 0.990707 0.3227
RR(-3) 0.121110 0.058985 2.053245 0.0410
然后在点estimate 在下拉选项中选择ARCH
在命令窗口中再次输入
LS RR RR(-1) (-2) (-3)
并在ARCH出填入2,GARCH处为1,得出结果
Variance backcast: ON
GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*RESID(-2)^2 + C(7)
*GARCH(-1)
Coefficient Std. Error z-Statistic Prob.
RR(-1) 0.013392 0.056863 0.235514 0.8138
RR(-2) 0.120481 0.062146 1.938671 0.0525
RR(-3) 0.095921 0.056070 1.710743 0.0871
Variance Equation
C 0.000127 3.59E-05 3.553327 0.0004
RESID(-1)^2 -0.043907 0.029463 -1.490253 0.1362
RESID(-2)^2 0.248625 0.078855 3.152960 0.0016
GARCH(-1) 0.079769 0.211942 0.376372 0.7066
R-squared 0.003674 Mean dependent var 0.001397
Adjusted R-squared -0.017908 S.D. dependent var 0.013305
S.E. of regression 0.013423 Akaike info criterion -5.819411
Sum squared resid 0.049910 Schwarz criterion -5.729472
Log likelihood 833.3564 Durbin-Watson stat 1.974819
RR是上证综合指数的周收益,用此AR(3)-GARCH(2,1)是用残差来检验超额收益的。
大哥哥。那里面都有的,你好好找找啊,用软件搞一般般的模型不算难,难得是把计量吃透!
eviews里面有选项的
我替别人做这类的数据分析蛮多的
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