请问论坛中的各位牛人,在winrats中建立如下二元GARCH(1,1)模型之后,
open data e:\garch.xls
data(format=xls,org=columns) 1 101 dlccpi dlcrbfi
garch(p=1,q=1,mv=bek,pmethod=simplex, piters=10) / dlccpi dlcrbfi
MV-GARCH, BEKK - Estimation by BFGS
Convergence in 49 Iterations. Final criterion was 0.0000029 <= 0.0000100
Usable Observations 101
Log Likelihood 392.96483144
Variable Coeff Std Error T-Stat Signif
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1. Mean(1) 0.003504589 0.002577561 1.35965 0.17393968
2. Mean(2) 0.000643619 0.003763700 0.17101 0.86421822
3. C(1,1) 0.015695571 0.002781277 5.64330 0.00000002
4. C(2,1) -0.009088901 0.010440803 -0.87052 0.38401770
5. C(2,2) 0.000000074 0.030611923 2.40381e-06 0.99999808
6. A(1,1) 0.410171101 0.084472049 4.85570 0.00000120
7. A(1,2) 0.597592454 0.238595901 2.50462 0.01225825
8. A(2,1) 0.398191234 0.067312277 5.91558 0.00000000
9. A(2,2) -0.079344684 0.131543913 -0.60318 0.54638882
10. B(1,1) 0.278306176 0.164882279 1.68791 0.09142882
11. B(1,2) 1.813106317 0.218447653 8.29996 0.00000000
12. B(2,1) -0.071227201 0.154786361 -0.46016 0.64539809
13. B(2,2) -0.243861007 0.244765149 -0.99631 0.31910145
如何检验 A(2,1)=B(1,2)=0,;A(1,2)=B(1,2)=0,能给出检验统计量和伴随概率?
最近在写毕业论文,做不出来各种纠结啊,跪求各位高手帮帮忙,感激不尽、、、