Model No. of parameters Log-likelihood AIC Schwarz Degrees of freedom Persistence
Student t SWARCH-L(3, 2) 13 2802.7 -2815.7 -2849.4 7.2 0.48
SWARCH用GUASS运行结果如下,没有得到AIC,SC及Persistence的值。。。
Order of autoregression 1.0000000
Order of ARCH process 2.0000000
Number of primitive states 3.0000000
Number of lagged states that affect y 2.0000000
First observation used for estimation is 5.0000000
with leverage effect
distribution is t
Constant term in regression 0.35080500
Autoregressive coefficients in regression 0.25003200
Initial variance not neeeded
Constant term in ARCH process 0.56817500
Coefficients on lagged epsilon squared in ARCH process 0.027988000 0.11706300
(Transposed) matrix of transition probabilities
0.99236621 0.00000000 0.0025702358
0.0076337928 0.99144538 0.014353048
0.00000000 0.0085546244 0.98307672
The state with no adjustment to ARCH process is state 1, with transition
probability 0.99236621
Vector of variance factors for states 2 through 3.0000000 4.3512660 13.146594
Coefficient on negative lagged change for asymmetric effect 0.42415600
degree of freedom for t distribution is 7.2199370
Initial values: 0.35080500 0.25003200 -0.56817500 0.027988000 -0.11706300 11.401600 0.051132000 10.765493 0.12083100 4.3512660 13.146594 0.42415600 -5.2199370
Initial value for negative log likelihood: 2802.6510
Do you wish to continue (y or n)?Y


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