火龙果汽水 发表于 2013-2-23 14:31
数据文件给您传上了,就是那个叫做数据的
module(finmetrics)
data=importData(file="pitaya1.xls", type="EXCEL")
pitaya1=cbind(data$v1,data$v2)
pitaya1.bekk = mgarch(
pitaya1~-1, ~bekk(1,1))
summary(
pitaya1.bekk)
Call:
mgarch(formula.mean = pitaya1 ~ -1, formula.var = ~ bekk(1, 1))
Mean Equation: structure(.Data = pitaya1 ~ -1
, class = "formula"
)
Conditional Variance Equation: structure(.Data = ~ bekk(1, 1)
, class = "formula"
)
Conditional Distribution: gaussian
--------------------------------------------------------------
Estimated Coefficients:
--------------------------------------------------------------
Value Std.Error t value Pr(>|t|)
A(1, 1) 0.001321 0.005064 0.26095 7.942e-001
A(2, 1) -0.001187 0.011400 -0.10416 9.171e-001
A(2, 2) 0.003367 0.005387 0.62506 5.322e-001
ARCH(1; 1, 1) 0.293512 0.082547 3.55569 4.125e-004
ARCH(1; 2, 1) -0.001479 0.083964 -0.01761 9.860e-001
ARCH(1; 1, 2) -0.280921 0.123263 -2.27904 2.308e-002
ARCH(1; 2, 2) 0.020918 0.118460 0.17658 8.599e-001
GARCH(1; 1, 1) 0.924886 0.070220 13.17124 0.000e+000
GARCH(1; 2, 1) 0.055811 0.061759 0.90369 3.666e-001
GARCH(1; 1, 2) 0.094547 0.127677 0.74052 4.593e-001
GARCH(1; 2, 2) 0.902398 0.108385 8.32590 8.882e-016
--------------------------------------------------------------
AIC(11) = -6136.881
BIC(11) = -6090.324
Normality Test:
--------------------------------------------------------------
Jarque-Bera P-value Shapiro-Wilk P-value
v1 13.33 1.272e-003 0.9766 0.006411
v2 26.14 2.112e-006 0.9794 0.044397
Ljung-Box test for standardized residuals:
--------------------------------------------------------------
Statistic P-value Chi^2-d.f.
v1 15.397 0.2204 12
v2 8.404 0.7528 12
Ljung-Box test for squared standardized residuals:
--------------------------------------------------------------
Statistic P-value Chi^2-d.f.
v1 10.700 0.5548 12
v2 4.404 0.9750 12
Lagrange multiplier test:
--------------------------------------------------------------
Lag 1 Lag 2 Lag 3 Lag 4 Lag 5 Lag 6 Lag 7 Lag 8 Lag 9 Lag 10 Lag 11 Lag 12 C
v1 0.5538 1.7195 -0.7045 -1.0199 0.2528 0.4327 0.4468 0.72121 1.5802 -1.0795 -0.3441 -0.007436 0.5234
v2 0.2656 0.9985 0.2316 0.4073 1.0403 -0.6377 1.0230 0.07003 0.0611 -0.9343 -0.3995 -0.367546 -0.8732
TR^2 P-value F-stat P-value
v1 10.223 0.5964 0.9489 0.6026
v2 5.676 0.9315 0.5220 0.9648