求DCC-GARCH实例eviews文档

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

小弟苦逼选了一完全陌生的课题，苦逼到现在还不会用eviews，望高人指点。
在此跪求一个DCC-GARCH在Eviews中的实际例子。

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏7 回帖

关键词：DCC-GARCH EVIEWS GARCH Eview Views

看在小弟国庆还在苦逼的份上，那位高人分享一下做过的Eviews文档啊？

Eviews菜单功能好像做不了DCC分析的，不知道命令功能行不行！更多的是用R语言和Matlab做的

用eviews做dcc garch也得编程才行~
建议楼主用R、s-plus或matlab、gauss等软件去做dcc garch，
这些都有已经写好的程序

如果实在需要用eviews做dcc garch的话
去google搜eviews论坛，应该可以找到dcc garch的eviews程序
祝好运

1. 'change path to program path
   
2. %path=@runpath
   
3. cd %path
   
4. 
   
5. 'load workfile containing the return series
   
6. load nikkei_sp.WF1
   
7. 
   
8. 'set sample range
   
9. sample s1 1/06/1995 12/25/2007
   
10. scalar pi=3.14159
    
11. 
    
12. 'defining the return series in terms of y1 and y2
    
13. series y1=r_nikkei
    
14. series y2=r_sp
    
15. 
    
16. 'fitting univariate GARCH(1,1) models to each of the two returns series
    
17. equation eq_y1.arch(1,1,m=1000,h) y1 c
    
18. equation eq_y2.arch(1,1,m=1000,h) y2 c
    
19. 
    
20. 'extract the standardized residual series from the GARCH fit
    
21. eq_y1.makeresids(s) z1
    
22. eq_y2.makeresids(s) z2
    
23. 
    
24. 'extract garch series from univariate fit
    
25. eq_y1.makegarch() garch1
    
26. eq_y2.makegarch() garch2
    
27. 
    
28. 'Caculate sample variance of series z1, z2 and covariance of z1and z2 and correlation between z1 and z2
    
29. scalar var_z1=@var(z1)
    
30. scalar var_z2=@var(z2)
    
31. scalar cov_z1z2=@cov(z1,z2)
    
32. scalar corr12=@cor(z1,z2)
    
33. 
    
34. 'defining the starting values for the var(z1) var(z2) and covariance (z1,z2)
    
35. series var_z1t=var_z1
    
36. series var_z2t=var_z2
    
37. series cov_z1tz2t=cov_z1z2
    
38. 
    
39. 'declare the coefficient starting values
    
40. coef(2) T
    
41. T(1)=0.2
    
42. T(2)=0.7
    
43. 
    
44. ' ...........................................................
    
45. ' LOG LIKELIHOOD for correlation part
    
46. ' set up the likelihood
    
47. ' 1) open a new blank likelihood object and name it 'dcc'
    
48. ' 2) specify the log likelihood model by append
    
49. ' ...........................................................
    
50. 
    
51. logl dcc
    
52. dcc.append @logl logl
    
53. 
    
54. 'specify var_z1t, var_z2t, cov_z1tz2t
    
55. dcc.append var_z1t=@nan(1-T(1)-T(2)+T(1)*(z1(-1)^2)+T(2)*var_z1t(-1),1)
    
56. dcc.append var_z2t=@nan(1-T(1)-T(2)+T(1)*(z2(-1)^2)+T(2)*var_z2t(-1),1)
    
57. dcc.append cov_z1tz2t=@nan((1-T(1)-T(2))*corr12+T(1)*z1(-1)*z2(-1)+T(2)*cov_z1tz2t(-1),1)
    
58. 
    
59. dcc.append pen=(var_z1t<0)+(var_z2t<0)
    
60. 
    
61. 'specify rho12
    
62. dcc.append rho12=cov_z1tz2t/@sqrt(@abs(var_z1t*var_z2t))
    
63. 
    
64. 'defining the determinant of correlation matrix and determinant of Dt
    
65. dcc.append detrRt=(1-(rho12^2))
    
66. dcc.append detrDt=@sqrt(garch1*garch2)
    
67. dcc.append pen=pen+(detrRt<0)
    
68. dcc.append detrRt=@abs(detrRt)
    
69. 
    
70. 'define the log likelihood function
    
71. dcc.append logl=(-1/2)*(2*log(2*pi)+log(detrRt)+(z1^2+z2^2-2*rho12*z1*z2)/detrRt)-10*pen
    
72. 
    
73. 'estimate the model
    
74. smpl s1
    
75. dcc.ml(showopts, m=500, c=1e-5)
    
76. 
    
77. 'display output and graphs
    
78. show dcc.output
    
79. graph corr.line rho12
    
80. show corr

复制代码

呃 帮你找了下 直接在eviews论坛中找到了

这个应该是采用两步估计法进行估计的

楼上写的代码结果异常！

楼主，你的DCCGARCH用EVIEWS做出来了吗？