2.请问Garch模型中Arch项不显著,合理吗?
3.如果不合理,这是什么原因造成的?该如何修正?
结果如下见附件:
OPG | ||||||
ig_vw_is | Coef. | Std. Err. | z | P>z | [95% Conf. | Interval] |
ig_vw_is | ||||||
bzh_sur_non | -.1630718 | .0191521 | -8.51 | 0.000 | -.2006092 | -.1255344 |
_cons | -.0190489 | .023556 | -0.81 | 0.419 | -.0652178 | .0271199 |
HET | ||||||
d1 | -.6225706 | .215536 | -2.89 | 0.004 | -1.045013 | -.2001278 |
_cons | -4.132193 | .9068655 | -4.56 | 0.000 | -5.909617 | -2.354769 |
ARCH | ||||||
arch | ||||||
L1. | .0152936 | .0437851 | 0.35 | 0.727 | -.0705237 | .1011109 |
garch | ||||||
L1. | .8130576 | .150631 | 5.40 | 0.000 | .5178264 | 1.108289 |