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40论坛币
本人正在写毕业论文,用到多元VAR-GARCH-BEKK模型,有疑问希望大神帮忙解答。我看其他论文都是先做VAR再进行方差方程估计,想问一下为什么我的运行结果中变量的系数与单独做VAR不一样,另外方差方程除了常系数矩阵和arch矩阵,GARCH矩阵,这个D矩阵是什么呀?
运行结果如下:
Variable Coeff Std Error T-Stat Signif
*************************************************************************************
1. CSI{1} 0.001198253 0.018622125 0.06435 0.94869498
2. NH{1} 0.053010780 0.037655860 1.40777 0.15919927
3. GOLD{1} 0.023333256 0.036089415 0.64654 0.51792961
4. EXCHANGE{1} 0.240595870 0.233556020 1.03014 0.30294334
5. SHIBOR{1} -0.003540781 0.007253937 -0.48812 0.62546591
6. BITCOIN{1} -0.000239483 0.006271888 -0.03818 0.96954136
7. Constant 0.000353898 0.000324323 1.09119 0.27518979
8. CSI{1} -0.023017488 0.014094219 -1.63312 0.10244470
9. NH{1} -0.008440742 0.022421777 -0.37645 0.70658024
10. GOLD{1} -0.037765884 0.024863459 -1.51893 0.12877982
11. EXCHANGE{1} 0.315316618 0.127787727 2.46750 0.01360590
12. SHIBOR{1} -0.005641366 0.004502628 -1.25291 0.21024017
13. BITCOIN{1} 0.000536386 0.004350679 0.12329 0.90187915
14. Constant -0.000201028 0.000216336 -0.92924 0.35276412
15. CSI{1} -0.022713819 0.012649501 -1.79563 0.07255343
16. NH{1} -0.029851621 0.025753328 -1.15914 0.24640057
17. GOLD{1} -0.044968073 0.023264449 -1.93291 0.05324735
18. EXCHANGE{1} 0.111399836 0.136124214 0.81837 0.41314652
19. SHIBOR{1} 0.002691609 0.004709338 0.57155 0.56762879
20. BITCOIN{1} 0.000352825 0.003718184 0.09489 0.92440071
21. Constant -0.000388836 0.000211994 -1.83418 0.06662704
22. CSI{1} 0.000544184 0.001664207 0.32699 0.74367314
23. NH{1} 0.000216199 0.003170476 0.06819 0.94563324
24. GOLD{1} -0.001731155 0.003865028 -0.44790 0.65422368
25. EXCHANGE{1} 0.017258224 0.018435110 0.93616 0.34919051
26. SHIBOR{1} 0.000848487 0.000414223 2.04838 0.04052254
27. BITCOIN{1} 0.000123236 0.000545144 0.22606 0.82115365
28. Constant -0.000005163 0.000022052 -0.23413 0.81488460
29. CSI{1} -0.003742140 0.014746276 -0.25377 0.79967445
30. NH{1} -0.006889461 0.019908007 -0.34606 0.72929401
31. GOLD{1} -0.033438429 0.022414705 -1.49181 0.13574957
32. EXCHANGE{1} 0.034440922 0.095015283 0.36248 0.71699508
33. SHIBOR{1} 0.518486082 0.024306574 21.33111 0.00000000
34. BITCOIN{1} 0.002988075 0.004712008 0.63414 0.52598908
35. Constant 0.000214300 0.000203142 1.05493 0.29145932
36. CSI{1} 0.000277022 0.080984794 0.00342 0.99727071
37. NH{1} -0.184468218 0.142446305 -1.29500 0.19531962
38. GOLD{1} -0.058798578 0.144906316 -0.40577 0.68491190
39. EXCHANGE{1} 0.630290989 0.879292545 0.71682 0.47348762
40. SHIBOR{1} 0.020835801 0.024793436 0.84038 0.40069777
41. BITCOIN{1} 0.018847289 0.018077702 1.04257 0.29714700
42. Constant 0.002850411 0.001210748 2.35426 0.01855979
43. C(1,1) 0.001416814 0.000600780 2.35829 0.01835930
44. C(2,1) 0.000599184 0.000342856 1.74762 0.08052905
45. C(2,2) 0.001102443 0.000313279 3.51904 0.00043311
46. C(3,1) 0.000247538 0.000328671 0.75315 0.45135974
47. C(3,2) 0.000848048 0.000361078 2.34866 0.01884133
48. C(3,3) -0.000561241 0.000487082 -1.15225 0.24921819
49. C(4,1) -0.000005326 0.000046355 -0.11490 0.90852512
50. C(4,2) -0.000034144 0.000056659 -0.60262 0.54676238
51. C(4,3) -0.000041182 0.000041279 -0.99765 0.31844742
52. C(4,4) -0.000000307 0.000066999 -0.00459 0.99634003
53. C(5,1) -0.001414536 0.001057043 -1.33820 0.18083080
54. C(5,2) -0.001609816 0.001336947 -1.20410 0.22855162
55. C(5,3) -0.000846274 0.001121511 -0.75458 0.45049872
56. C(5,4) -0.000047041 0.001589637 -0.02959 0.97639198
57. C(5,5) 0.000009236 0.000976927 0.00945 0.99245690
58. C(6,1) -0.002760753 0.002668500 -1.03457 0.30086937
59. C(6,2) 0.014016403 0.003356317 4.17613 0.00002965
60. C(6,3) 0.009723501 0.002677613 3.63141 0.00028188
61. C(6,4) -0.002644467 0.003305603 -0.80000 0.42371343
62. C(6,5) -0.003748995 0.003398016 -1.10329 0.26990146
63. C(6,6) 0.017522012 0.003570362 4.90763 0.00000092
64. A(1,1) 0.333055815 0.043065614 7.73368 0.00000000
65. A(1,2) -0.043970905 0.027406512 -1.60440 0.10862673
66. A(1,3) -0.078720474 0.027039512 -2.91131 0.00359914
67. A(1,4) -0.000248110 0.002846132 -0.08717 0.93053289
68. A(1,5) 0.096143791 0.077663900 1.23795 0.21573572
69. A(1,6) -0.156194338 0.234063709 -0.66732 0.50457064
70. A(2,1) 0.002664146 0.086698319 0.03073 0.97548573
71. A(2,2) 0.364719060 0.067403424 5.41099 0.00000006
72. A(2,3) -0.005886816 0.054458825 -0.10810 0.91391904
73. A(2,4) 0.002312008 0.008454382 0.27347 0.78449303
74. A(2,5) 0.004467515 0.091786982 0.04867 0.96118018
75. A(2,6) 0.311357812 0.486302819 0.64026 0.52200683
76. A(3,1) 0.142596764 0.103898429 1.37246 0.16991931
77. A(3,2) -0.029559704 0.050927724 -0.58042 0.56162831
78. A(3,3) -0.027317371 0.054102910 -0.50492 0.61361853
79. A(3,4) -0.000153873 0.006430330 -0.02393 0.98090899
80. A(3,5) 0.036279724 0.087203099 0.41604 0.67738285
81. A(3,6) -0.489675628 0.386686034 -1.26634 0.20539172
82. A(4,1) 0.292122507 0.432830824 0.67491 0.49973198
83. A(4,2) -0.347931206 0.317107887 -1.09720 0.27255338
84. A(4,3) -0.151607075 0.216778023 -0.69937 0.48432363
85. A(4,4) 0.252140506 0.034478542 7.31297 0.00000000
86. A(4,5) -0.230003644 0.312093622 -0.73697 0.46114058
87. A(4,6) -0.953008517 2.241416716 -0.42518 0.67070450
88. A(5,1) -0.011840479 0.009183903 -1.28926 0.19730616
89. A(5,2) 0.005467474 0.006830650 0.80043 0.42346028
90. A(5,3) 0.014441777 0.005968666 2.41960 0.01553764
91. A(5,4) 0.000229377 0.000795584 0.28831 0.77310745
92. A(5,5) 1.856922062 0.038482482 48.25370 0.00000000
93. A(5,6) -0.064393818 0.057733734 -1.11536 0.26469678
94. A(6,1) 0.009685216 0.012375248 0.78263 0.43384554
95. A(6,2) 0.005526331 0.007626659 0.72461 0.46869314
96. A(6,3) 0.011794487 0.005511398 2.14002 0.03235337
97. A(6,4) 0.000379550 0.000928396 0.40882 0.68266911
98. A(6,5) -0.013984162 0.019802576 -0.70618 0.48007689
99. A(6,6) 0.675318850 0.083242085 8.11271 0.00000000
100. B(1,1) 0.974007923 0.004667986 208.65699 0.00000000
101. B(1,2) 0.000983941 0.002431341 0.40469 0.68570485
102. B(1,3) 0.003581522 0.003061158 1.16999 0.24200534
103. B(1,4) 0.000118585 0.000235299 0.50398 0.61427793
104. B(1,5) -0.002343029 0.005496895 -0.42625 0.66992865
105. B(1,6) 0.020516393 0.023857916 0.85994 0.38982173
106. B(2,1) 0.000653408 0.004495306 0.14535 0.88443179
107. B(2,2) 0.987274541 0.003400814 290.30533 0.00000000
108. B(2,3) 0.000720035 0.003042563 0.23665 0.81292512
109. B(2,4) -0.000151905 0.000594149 -0.25567 0.79820730
110. B(2,5) -0.001122407 0.005897192 -0.19033 0.84905126
111. B(2,6) -0.004133567 0.040333623 -0.10248 0.91837221
112. B(3,1) -0.010847295 0.005381614 -2.01562 0.04383960
113. B(3,2) -0.002216154 0.002252987 -0.98365 0.32528683
114. B(3,3) 0.991372878 0.002160908 458.77616 0.00000000
115. B(3,4) -0.000171714 0.000288697 -0.59479 0.55198495
116. B(3,5) -0.002391631 0.009789130 -0.24431 0.80698693
117. B(3,6) -0.010187862 0.053510337 -0.19039 0.84900311
118. B(4,1) -0.023978508 0.026238804 -0.91386 0.36079214
119. B(4,2) 0.030536401 0.032634924 0.93570 0.34942921
120. B(4,3) 0.005441428 0.021638670 0.25147 0.80145248
121. B(4,4) 0.976076796 0.002927377 333.43051 0.00000000
122. B(4,5) -0.025672303 0.021798863 -1.17769 0.23892021
123. B(4,6) 0.063499436 0.189554192 0.33499 0.73762994
124. B(5,1) 0.001657758 0.001623033 1.02140 0.30706723
125. B(5,2) -0.001170503 0.000725348 -1.61371 0.10659000
126. B(5,3) -0.001623899 0.001200858 -1.35228 0.17628513
127. B(5,4) -0.000073110 0.000069962 -1.04499 0.29602633
128. B(5,5) 0.763811207 0.013157135 58.05301 0.00000000
129. B(5,6) 0.001673379 0.013453343 0.12438 0.90101136
130. B(6,1) -0.003379511 0.001874049 -1.80332 0.07133788
131. B(6,2) -0.001597071 0.001148040 -1.39113 0.16418651
132. B(6,3) -0.000999887 0.001671384 -0.59824 0.54968062
133. B(6,4) 0.000117147 0.000140141 0.83592 0.40320184
134. B(6,5) 0.004614706 0.002908914 1.58640 0.11264826
135. B(6,6) 0.879898823 0.014536436 60.53057 0.00000000
136. D(1,1) -0.478194418 0.127025029 -3.76457 0.00016684
137. D(1,2) -0.068999704 0.049797860 -1.38560 0.16587037
138. D(1,3) -0.019290934 0.046140255 -0.41809 0.67587886
139. D(1,4) 0.000555296 0.003230306 0.17190 0.86351458
140. D(1,5) -0.021080531 0.078334535 -0.26911 0.78784578
141. D(1,6) 0.065404005 0.347162783 0.18840 0.85056640
142. D(2,1) 0.038406995 0.157311588 0.24415 0.80711775
143. D(2,2) 0.098098963 0.183294822 0.53520 0.59251317
144. D(2,3) -0.019784109 0.081966049 -0.24137 0.80926870
145. D(2,4) 0.007935403 0.012369372 0.64154 0.52117423
146. D(2,5) 0.253393393 0.158184046 1.60189 0.10918000
147. D(2,6) -1.338674273 1.047660737 -1.27777 0.20132891
148. D(3,1) -0.307606019 0.198827713 -1.54710 0.12183954
149. D(3,2) -0.123972477 0.098476111 -1.25891 0.20806315
150. D(3,3) -0.272649929 0.086455028 -3.15366 0.00161236
151. D(3,4) 0.010839602 0.008708858 1.24466 0.21325527
152. D(3,5) -0.214575244 0.168010708 -1.27715 0.20154852
153. D(3,6) -0.142919761 1.084058777 -0.13184 0.89511271
154. D(4,1) 0.113920640 0.604429509 0.18848 0.85050329
155. D(4,2) 0.518623576 0.725035041 0.71531 0.47441857
156. D(4,3) 0.556782206 0.499177443 1.11540 0.26467932
157. D(4,4) -0.614769604 0.092515167 -6.64507 0.00000000
158. D(4,5) -0.244766841 0.556620326 -0.43974 0.66012723
159. D(4,6) -2.484266756 3.916047836 -0.63438 0.52583214
160. D(5,1) 0.017109689 0.025726317 0.66507 0.50600853
161. D(5,2) 0.003527501 0.009254462 0.38117 0.70307893
162. D(5,3) 0.017648669 0.012517564 1.40991 0.15856552
163. D(5,4) 0.000947267 0.000923974 1.02521 0.30526422
164. D(5,5) -0.529038927 0.179062828 -2.95449 0.00313189
165. D(5,6) -0.554859713 0.170547487 -3.25340 0.00114032
166. D(6,1) 0.009441729 0.019647676 0.48055 0.63083498
167. D(6,2) 0.003700736 0.011217626 0.32990 0.74147274
168. D(6,3) -0.011287884 0.015547041 -0.72605 0.46780990
169. D(6,4) 0.000217843 0.001234393 0.17648 0.85991873
170. D(6,5) 0.019594865 0.036299920 0.53980 0.58933177
171. D(6,6) 0.694414619 0.207678039 3.34371 0.00082667
172. Shape 2.255425638 0.019541412 115.41774 0.00000000
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