用winrats做bekk-garch模型出来的结果正常吗

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如图，最大似然估计值为NA,p值为1，是我操作不对吗？还是真的没有溢出效应？？做了好几对变量都是这个死样，烦请会的大佬交流交流，感激不尽!!!

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关键词：WinRATS GARCH模型 winrat ARCH模型 GARCH

肯定不对。均值方程要设置成VAR

hardmann 发表于 2023-10-6 10:11
肯定不对。均值方程要设置成VAR

你好，是要自己敲代码将均值方程设成VAR吗？或是在winrats上直接操作？？

set reuro = 100.0*log(euro/euro{1})
set rpound = 100.0*log(pound/pound{1})
set rsw = 100.0*log(sw/sw{1})
*
dec vect[string] longlabel(3)
compute longlabel=||"Euro","UK Pound","Swiss Franc"||
*
system(model=mvmean)
variables reuro rpound rsw
lags
det constant
end(system)
*
garch(model=mvmean,mv=bekk,robusterrors,pmethod=simplex,piters=20,$
method=bfgs,iters=500,rvectors=rd,hmatrices=hh,$
stdresids=rstd,factorby=eigen)

hardmann 发表于 2023-10-6 14:44
set reuro = 100.0*log(euro/euro{1})
set rpound = 100.0*log(pound/pound{1})
set rsw = 100.0*log(sw ...

感谢感谢，但是我用你的方法做出来还是p值为1，不知道哪里出了问题，并报错了
SUBITERATIONS LIMIT EXCEEDED. ESTIMATION POSSIBLY HAS STALLED OR MACHINE ROUNDOFF IS MAKING FURTHER PROGRESS DIFFICULT.
TRY HIGHER SUBITERATIONS LIMIT, TIGHTER CVCRIT, DIFFERENT SETTING FOR EXACTLINE OR ALPHA ON NLPAR.
RESTARTING ESTIMATION FROM LAST ESTIMATES OR DIFFERENT INITIAL GUESSES MIGHT ALSO WORK