这是我GARCH(1,1)拟合后的结果,还有arch效应,而且残差不成正态啊,怎么办?
Call:
garch(x = dcad, order = c(1, 1))
Model:
GARCH(1,1)
Residuals:
Min 1Q Median 3Q Max
-4.51159 -0.66779 0.02183 0.65037 2.90558
Coefficient(s):
Estimate Std. Error t value Pr(>|t|)
a0 2.009e-05 4.710e-06 4.266 1.99e-05 ***
a1 2.019e-01 4.492e-02 4.494 6.98e-06 ***
b1 1.329e-14 1.893e-01 0.000 1
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Diagnostic Tests:
Jarque Bera Test
data: Residuals
X-squared = 8.0657, df = 2, p-value = 0.01772
Box-Ljung test
data: Squared.Residuals
X-squared = 9.5897, df = 1, p-value = 0.001957