garch模型程序求助

悬赏统计估计程序，不知道下面这个模型怎么编程能估计出来，任何软件的都可以，可以再付高价其中R代表市场收益率，i，j代表不同市场t时的收益率，h为市场波动率

我觉得是多元GARCH 我这个是用R编写的GARCH（1、1） 看有用没

library(zoo)
library(quadprog)
library(tseries)
library(evir)
library(MASS)
library(stats)

library(Rcpp)
library(RcppArmadillo)
library(lattice)
library(numDeriv)
library(chron)
library(Rsolnp)
library(truncnorm)
library(sandwich)
library(Matrix)
library(rgarch)


#---------------------- Univariate GARCH ----------------------
InSample=read.table("YenISLogReturn.txt",header=T)
YenInSample=InSample[,3]
plot(YenInSample,type="l",main="Evolution Yen In-Sample")


#--------- Tester l'effet GARCH / Draw ------------
X11()
par(mfrow=c(2,1))
acf(YenInSample,lag=75,lwd=2)
acf(YenInSample^2,lag=75,lwd=2)

#---------- Modéliser un GARCH ----------------------
Yenspec = ugarchspec(mean.model = list(armaOrder = c(0,0)))
Yenfit = ugarchfit(data = YenInSample, spec = Yenspec)
Yenfit
YenPred = ugarchforecast(Yenfit, n.ahead = 1)
YenPred
#        sigma     series
23400 0.07011 -3.863e-05


#----------- Prediction par GARCH --------------------
YenISVolatility=predict(YenGarchIS)
YenISVolatility=predict(Yenfit)

PredictYenIS=ts(data = YenISVolatility, start = 1991, frequency = 6048)
#----define the Garch result in the form of a time series
YenIS=ts(data = YenInSample, start = 1991, frequency = 6048)
par(mfrow=c(1,1))
plot(YenIS,col="grey",main="Evolustion of YenISVolatility")
lines(PredictYenIS[,1],col="red")
lines(PredictYenIS[,2],col="red")

eviews可以

波动溢出 均值溢出

hudajinronghe 发表于 2012-3-2 22:51
波动溢出 均值溢出

具体有这样的程序包吗

hudajinronghe 发表于 2012-3-2 22:51
eviews可以

有具体的程序吗

我是感觉，也不怎么会  菜鸟一枚

应该是多元Garch吧，应该有程序能跑。

继续求助，希望有具体的程序啊，求助求助

DCC-MVGARCH模型应该能更好的解决动态相关性的问题