发帖
雷达卡
正在做一篇以股指为股货做套保，求最佳套保比率的小论文。其中实证部分是，是用Eviews做，由于不懂编程，弄了一天。还是不大明白。
这是我的程序，其中hss和sssp分别为个股和沪深300的收益率。求教的是，我最后要得到的最佳保值比率，该如何算：
smpl @all
series y1 = hss
series y2 = sssp
sample s0 1 745
sample s1 2 745
smpl s0
equation eq1.arch(m=100,c=1e-5) y1 c
equation eq2.arch(m=100,c=1e-5) y2 c
coef(2) mu
mu(1) = eq1.c(1)
mu(2)= eq2.c(1)
coef(3) omega
omega(1)=(eq1.c(2))^.5
omega(2)=0
omega(3)=eq2.c(2)^.5
coef(2) alpha
alpha(1) = (eq1.c(3))^.5
alpha(2) = (eq2.c(3))^.5
coef(2) beta
beta(1)= (eq1.c(4))^.5
beta(2)= (eq2.c(4))^.5
!mlog2pi = 2*log(2*@acos(-1))
series cov_y1y2 = @cov(y1-mu(1), y2-mu(2))
series var_y1 = @var(y1)
series var_y2 = @var(y2)
series sqres1 = (y1-mu(1))^2
series sqres2 = (y2-mu(2))^2
series res1res2 = (y1-mu(1))*(y2-mu(2))
logl bvgarch
bvgarch.append @logl logl
bvgarch.append sqres1 = (y1-mu(1))^2
bvgarch.append sqres2 = (y2-mu(2))^2
bvgarch.append res1res2 = (y1-mu(1))*(y2-mu(2))
bvgarch.append var_y1 = omega(1)^2 + beta(1)^2*var_y1(-1) + alpha(1)^2*sqres1(-1)
bvgarch.append var_y2 = omega(3)^2+omega(2)^2 + beta(2)^2*var_y2(-1) + alpha(2)^2*sqres2(-1)
bvgarch.append cov_y1y2 = omega(1)*omega(2) + beta(2)*beta(1)*cov_y1y2(-1) + alpha(2)*alpha(1)*res1res2(-1)
bvgarch.append deth = var_y1*var_y2 - cov_y1y2^2
bvgarch.append invh1 = var_y2/deth
bvgarch.append invh3 = var_y1/deth
bvgarch.append invh2 = -cov_y1y2/deth
bvgarch.append logl =-0.5*(!mlog2pi + (invh1*sqres1+2*invh2*res1res2+invh3*sqres2) + log(deth))
smpl s1
bvgarch.ml(showopts, m=100, c=1e-5)
show bvgarch.output
graph varcov.line var_y1 var_y2 cov_y1y2
show varcov
scalar lr = -2*( eq1.@logl + eq2.@logl - bvgarch.@logl )
scalar lr_pval = 1 - @cchisq(lr,1)
请高手指点啊，我在在线等待，实在是万分火急。
其实根据程序，应该是cov_y1y2/ var_y2
只是同用最小二程法算出来的差别太大了一些，所以我有些不相信?
可惜没有人讲一下，高手都去哪里了？
[此贴子已经被作者于2008-6-27 21:09:25编辑过]
京公网安备 11010802022788号
