epoh 发表于 2012-9-11 15:43
ingbp.xls
OPEN DATA ingbp.xls
老师您好,用您的数据,我怎么跑出来和您的不一样,求解答,
MV-GARCH, BEKK - Estimation by BFGS
NO CONVERGENCE IN 100 ITERATIONS
LAST CRITERION WAS 0.0026625
Usable Observations 432
Log Likelihood 3041.90503403
Variable Coeff Std Error T-Stat Signif
*******************************************************************************
1. X{1} -0.000439748 0.044259224 -0.00994 0.99207256
2. Y{1} 0.063004145 0.195315708 0.32258 0.74701643
3. Z{1} -0.017631757 0.081818205 -0.21550 0.82937814
4. Constant 0.004664845 0.002297609 2.03030 0.04232568
5. X{1} 0.012637848 0.010930447 1.15621 0.24759689
6. Y{1} 0.133607126 0.050397782 2.65105 0.00802416
7. Z{1} 0.052209029 0.018861218 2.76806 0.00563906
8. Constant 0.001032906 0.000535050 1.93049 0.05354651
9. X{1} 0.004854519 0.021231199 0.22865 0.81914077
10. Y{1} 0.008728963 0.082476260 0.10584 0.91571242
11. Z{1} -0.403629328 0.046032526 -8.76835 0.00000000
12. Constant 0.001343619 0.001073905 1.25115 0.21087891
13. C(1,1) 0.004610808 0.002593003 1.77817 0.07537545
14. C(2,1) -0.008817962 0.000932574 -9.45551 0.00000000
15. C(2,2) 0.000507411 0.008109527 0.06257 0.95010915
16. C(3,1) 0.001073897 0.001468013 0.73153 0.46445479
17. C(3,2) 0.000004054 0.001076612 0.00377 0.99699575
18. C(3,3) -0.000004638 0.001165574 -0.00398 0.99682491
19. A(1,1) 0.187244595 0.039909425 4.69174 0.00000271
20. A(1,2) 0.068808481 0.013649986 5.04092 0.00000046
21. A(1,3) 0.022354099 0.017758236 1.25880 0.20810194
22. A(2,1) -0.235303816 0.188659174 -1.24724 0.21230845
23. A(2,2) 0.490740343 0.073265263 6.69813 0.00000000
24. A(2,3) 0.034305800 0.086998322 0.39433 0.69333952
25. A(3,1) 0.201724286 0.078998398 2.55352 0.01066390
26. A(3,2) -0.115561422 0.022969790 -5.03102 0.00000049
27. A(3,3) 0.339803205 0.043801348 7.75783 0.00000000
28. B(1,1) 0.919517597 0.023919512 38.44216 0.00000000
29. B(1,2) -0.002247412 0.012998786 -0.17289 0.86273478
30. B(1,3) -0.036762136 0.008176237 -4.49622 0.00000692
31. B(2,1) 1.469448723 0.272948362 5.38361 0.00000007
32. B(2,2) 0.176097059 0.110664920 1.59126 0.11155026
33. B(2,3) 0.318633557 0.126481866 2.51920 0.01176207
34. B(3,1) -0.039865728 0.053678456 -0.74268 0.45767755
35. B(3,2) 0.026084233 0.025945081 1.00536 0.31472193
36. B(3,3) 0.927906689 0.018777157 49.41678 0.00000000