GARCH波动过大的问题

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根据蔡瑞胸老师《金融数据分析导论》第177页到178页NGARCH模型的代码，用日经225和恒生指数的日数据估算模型的参数。参数估计出来后，各种指标都非常好。
但是，导出波动率后，发现波动率非常大，普遍在100%左右，最高的甚至700%。请问有没有人知道这是怎么回事啊？

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关键词：GARCH ARCH ARC RCH GARCH模型 恒生指数 模型 左右

Can you provide more details? Thanks

Chemist_MZ 发表于 2014-11-1 07:05
Can you provide more details? Thanks

"Ngarch" <- function(rtn){
# Estimation of a non-symmertic GARCH, NGARCH(1,1), model.
# Assume normal innovations
# rtn: return series
#
# The likelihood function "glkn" can be modified to fit more general NGARCH
#  models.
write(rtn,file='tmp.txt',ncol=1)
# obtain initial estimates
mu=mean(rtn)
par=c(mu,0.01,0.8,0.01,0.7)
#
#
mm=optim(par,glkn,method="Nelder-Mead",hessian=T)
low=c(-10,0,0,0,0)
upp=c(10,1,1,0.4,2)
#mm=optim(par,glkn,method="L-BFGS-B",hessian=T,lower=low,upper=upp)
## Print the results
par=mm$par
H=mm$hessian
Hi = solve(H)
cat(" ","\n")
cat("Estimation results of NGARCH(1,1) model:","\n")
cat("estimates: ",par,"\n")
se=sqrt(diag(Hi))
cat("std.errors: ",se,"\n")
tra=par/se
cat("t-ratio: ",tra,"\n")
# compute the volatility series and residuals
ht=var(rtn)
T=length(rtn)
if(T > 40)ht=var(rtn[1:40])
at=rtn-par[1]
for (i in 2:T){
sig2t=par[2]+par[3]*ht[i-1]+par[4]*(at[i-1]-par[5]*sqrt(ht[i-1]))^2
ht=c(ht,sig2t)
}
sigma.t=sqrt(ht)
Ngarch <- list(residuals=at,volatility=sigma.t)
}

glkn <- function(par){
rtn=read.table("tmp.txt")[,1]
glkn=0
ht=var(rtn)
T=length(rtn)
if(T > 40)ht=var(rtn[1:40])
at=rtn[1]-par[1]
for (i in 2:T){
ept=rtn-par[1]
at=c(at,ept)
sig2t=par[2]+par[3]*ht[i-1]+par[4]*ht[i-1]*(at[i-1]/sqrt(ht[i-1])-par[5])^2
ht=c(ht,sig2t)
glkn=glkn + 0.5*(log(sig2t) + ept^2/sig2t)
}
glkn
}

Chemist_MZ 发表于 2014-11-1 07:05
Can you provide more details? Thanks

nikkeigarchvol.txt (22.92 KB)

2014-11-3 09:09:23 上传

算出来的日经的garch波动率

data.zip (79.03 KB) 本附件包括：

• hangsenggarchvol.txt
• nikkei.csv
• nikkeigarchvol.txt
• hangseng.csv

2014-11-3 09:12:28 上传

全部数据都在这里面

hangsenggarchvol.txt (23.54 KB)

2014-11-3 09:09:07 上传

算出来的恒生波动率

这里是附件

xuenesta 发表于 2014-11-3 09:14
这里是附件

Looks no big problem in the code. I don't use R so I can't run it. Can you provide the estimation results?

Chemist_MZ 发表于 2014-11-3 10:30
Looks no big problem in the code. I don't use R so I can't run it. Can you provide the estimation  ...

日经的garch的vol在nikkeigarchvol中，实际波动在zip中nikkei文件中的classic parkison yangandzhang三栏是三种

xuenesta 发表于 2014-11-4 09:23
日经的garch的vol在nikkeigarchvol中，实际波动在zip中nikkei文件中的classic parkison yangandzhang三栏 ...

实际波动率的算法。恒生的大概结果差不多，就没有贴。

xuenesta 发表于 2014-11-4 09:23
实际波动率的算法。恒生的大概结果差不多，就没有贴。

Sorry, I mean your estimated model parameters. Thanks,

Chemist_MZ 发表于 2014-11-4 10:11
Sorry, I mean your estimated model parameters. Thanks,

Estimation results of NGARCH(1,1) model:
estimates:  -0.01844564 0.02974094 0.8907237 0.06205228 0.7921438
std.errors:  0.04300063 0.01096994 0.01738296 0.01205084 0.1824911
t-ratio:  -0.4289622 2.711132 51.24121 5.149206 4.340726

xuenesta 发表于 2014-11-4 20:20
Estimation results of NGARCH(1,1) model:
estimates:  -0.01844564 0.02974094 0.8907237 0.06205228 ...

模型为
r(t)=u+a(t) a(t)=sigma(t)*norm（0,1）
sigma(t)=b0+b1sigma2（t-1）+b2(a(t-1)-theta*sima(t-1))^2