不会看igarch拟合后的结果,有没有人能帮我看下?
Conditional Variance Dynamics
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GARCH Model : iGARCH(1,1)
Mean Model : ARFIMA(0,0,0)
Distribution : norm
Optimal Parameters
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Estimate Std. Error t value Pr(>|t|)
mu 0.15003 0.107343 1.397689 0.16221
omega 0.00565 0.127179 0.044424 0.96457
alpha1 0.15841 0.016919 9.362877 0.00000
beta1 0.84159 NA NA NA
Robust Standard Errors:
Estimate Std. Error t value Pr(>|t|)
mu 0.15003 0.195582 0.767107 0.443018
omega 0.00565 0.444764 0.012703 0.989865
alpha1 0.15841 0.050514 3.136016 0.001713
beta1 0.84159 NA NA NA
LogLikelihood : -3548.375
Information Criteria
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Akaike 7.5722
Bayes 7.5877
Shibata 7.5722
Hannan-Quinn 7.5781
Q-Statistics on Standardized Residuals
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statistic p-value
Lag[1] 4.734 0.02958
Lag[p+q+1][1] 4.734 0.02958
Lag[p+q+5][5] 5.667 0.34001
d.o.f=0
H0 : No serial correlation
Q-Statistics on Standardized Squared Residuals
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statistic p-value
Lag[1] 0.717 0.39713
Lag[p+q+1][3] 2.898 0.08868
Lag[p+q+5][7] 6.523 0.25859
d.o.f=2
ARCH LM Tests
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Statistic DoF P-Value
ARCH Lag[2] 2.235 2 0.3271
ARCH Lag[5] 3.506 5 0.6225
ARCH Lag[10] 6.904 10 0.7345
Nyblom stability test
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Joint Statistic: 0.9712
Individual Statistics:
mu 0.1218
omega 0.1956
alpha1 0.4657
Asymptotic Critical Values (10% 5% 1%)
Joint Statistic: 0.846 1.01 1.35
Individual Statistic: 0.35 0.47 0.75
Sign Bias Test
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t-value prob sig
Sign Bias 1.4072 0.159699
Negative Sign Bias 2.7489 0.006095 ***
Positive Sign Bias 0.9069 0.364709
Joint Effect 8.3897 0.038609 **
Adjusted Pearson Goodness-of-Fit Test:
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group statistic p-value(g-1)
1 20 70.57 7.389e-08
2 30 87.44 8.981e-08
3 40 118.03 7.051e-10
4 50 145.90 1.458e-11
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