spec1=ugarchspec(mean.model = list(armaOrder = c(1,1), include.mean = TRUE),
distribution.model = "std")
fit1=ugarchfit(spec1,data=nlogr,solver="solnp")
bootpred = ugarchboot(fit1, method = "Partial", n.ahead = 10, n.bootpred = 2000)
bootpred
结果如下:问如何提取结果
*-----------------------------------*
* GARCH Bootstrap Forecast *
*-----------------------------------*
Model : sGARCH
n.ahead : 10
Bootstrap method: partial
Date (T[0]): 1978-01-15 08:00:00
Series (summary):
min q.25 mean q.75 max forecast[analytic]
t+1 -6.6770 -0.61877 -0.016556 0.58030 5.6486 -0.011659
t+2 -7.3993 -0.58170 0.025057 0.64152 6.1525 -0.011751
t+3 -7.8657 -0.62613 -0.028846 0.56842 5.4436 -0.011843
t+4 -5.7900 -0.57927 0.017137 0.60920 5.3737 -0.011936
t+5 -6.8279 -0.63322 -0.034105 0.59020 5.8580 -0.012028
t+6 -6.7123 -0.56594 0.014720 0.59638 5.1417 -0.012120
t+7 -6.3602 -0.57031 0.036154 0.60444 7.1496 -0.012212
t+8 -7.8215 -0.56747 0.020073 0.61411 6.5526 -0.012304
t+9 -5.6935 -0.62394 0.010108 0.62818 7.4625 -0.012395
t+10 -6.2016 -0.60069 0.033470 0.62588 7.0287 -0.012487
.....................
Sigma (summary):
min q0.25 mean q0.75 max forecast[analytic]
t+1 1.12611 1.1261 1.1261 1.1261 1.1261 1.1261
t+2 1.09411 1.0965 1.1347 1.1349 2.1450 1.1376
t+3 1.06396 1.0797 1.1430 1.1612 2.3665 1.1490
t+4 1.03561 1.0684 1.1510 1.1831 2.5425 1.1601
t+5 1.00935 1.0602 1.1559 1.2000 2.4411 1.1710
t+6 0.98561 1.0559 1.1630 1.2100 2.4377 1.1818
t+7 0.96379 1.0495 1.1703 1.2271 2.3422 1.1924
t+8 0.95026 1.0484 1.1756 1.2326 2.5803 1.2028
t+9 0.93132 1.0456 1.1809 1.2373 2.8109 1.2130
t+10 0.91662 1.0455 1.1876 1.2533 3.0232 1.2231
.....................
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