刚学GARCH模型,还是不太懂,求大神指导程序错误的地方,想用GARCH模型分析房价波动性
data hang;
input x@@;
t=_n_;
cards;
22729 22684 22545 22987 23149 23182 23375 23495 23616 23747 23715 23769
23737 23750 23809 23866 23812 23793 23733 23672 23526 23372 23271 23263
23796 23804 23997 24037 24222 24388 24518 25075 25290 26011 26821 27349
27783 28478 29395 30497 31277 31333 31465 32131 32764 33069 33241 33472
33269 32736 32719 32281 32504 32304 32042 32412
;
proc gplot data=hang;
plot x*t=1;
symbol1 c=black i=join v=star;
proc autoreg data=hang;
model x=t/nlag=24 dwprob archtest;
model x=t/nlag=1 noint garch= (p=1,q=1);
output out=out p=p residual=residual lcl=lcl ucl=ucl cev=cev;
data out;
set out;
l95=-1.96*sqrt (51.42515);
u95=1.96*sqrt (51.42515);
Lcl_GARCH=-1.96*sqrt (cev);
Ucl_GARCH=1.96*sqrt(cev);
Lcl_p=p-1.96*sqrt(cev);
Ucl_p=p+1.96*sqrt(cev);
proc gplot data=out;
plot residual*t=2 l95*t=3 LCL_garch*t=4 u95*t=3 UCL_garch*t=4/overlay;
plot x*t=5 lcl*t=3 LCL_p*t=4 ucl*t=3 UCL_p*t=4/overlay;
symbol2 c=green i=needle v=none;
symbol3 c=black i=join v=none w=1 l=2;
symbol4 c=red i=join v=none;
symbol5 c=green i=join v=none;
run;