[文献资料] GARCH族模型英文课件（很清楚，含R代码） GARCH INTRODUCTION OF THE USE OF GARCH/A [推广有奖]

GARCH族模型英文课件（很清楚） ，含R代码
GARCH  INTRODUCTION OF THE USE OF GARCH/ARCH MODE

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目录：

¢COMPARISON WITH OLS
¢WHEN TO USE GARCH/ARCH
¢DEVELOPMENT OF GARCH/ARCH
¢FUNCTION OF ASSET RETURN
¢GARCH SPECIFICATION
¢A SIMPLE EXAMPLE OF GARCH(1,1)
¢A VALUE-AT-RISK EXAMPLE
¢GARCH IMPLEMENT IN R

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&cent;> rdindexmid<-read.csv("H:/GARCH presentation/hsindex9697.csv")
&cent;> y<-c(rdindexmid$change.rate)
&cent;> hsindexmid.g=garch(y,order=c(1,1))
&cent;> summary(hsindexmid.g)
&cent;Coefficient(s):


&cent;> u=predict(hsindexmid.g)
&cent;> attach(rdindexmid)

附件：
GARCH_(1_1)英文介绍(附R语言).pptx (265.08 KB)

2013-5-28 10:45:10 上传