求助哪个大神r语言做garch模型时，参数不显著怎么办，试过其他的garch类模型。。。。 - R语言论坛

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今此一心 发表于 2015-6-22 15:26:14 |只看作者 |坛友微信交流群|倒序 |AI写论文

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*---------------------------------*
*       GARCH Model Fit       *
*---------------------------------*

Conditional Variance Dynamics
-----------------------------------
GARCH Model    : eGARCH(1,1)
Mean Model    : ARFIMA(0,0,0)
Distribution : std

Optimal Parameters
------------------------------------
      Estimate  Std. Error t value Pr(>|t|)
mu    -0.000232 0.000097  -2.40006 0.016392
omega  -0.378463 0.018650 -20.29334 0.000000
alpha1 -0.028542 0.030402  -0.93883 0.347820
beta1 0.967431 0.001671 578.86064 0.000000
gamma1  0.153617 0.034882 4.40394 0.000011
shape  13.356411 5.860378 2.27910 0.022661

Robust Standard Errors:
      Estimate  Std. Error t value Pr(>|t|)
mu    -0.000232 0.000069  -3.33948 0.000839
omega  -0.378463 0.027513 -13.75584 0.000000
alpha1 -0.028542 0.041941  -0.68053 0.496171
beta1 0.967431 0.002550 379.42164 0.000000
gamma1  0.153617 0.036893 4.16388 0.000031
shape  13.356411 6.304088 2.11869 0.034117

LogLikelihood : 2923.029

Information Criteria
------------------------------------

Akaike    -8.7995
Bayes       -8.7588
Shibata    -8.7996
Hannan-Quinn -8.7837

Weighted Ljung-Box Test on Standardized Residuals
------------------------------------
                     statistic p-value
Lag[1]                   0.1001 7.517e-01
Lag[2*(p+q)+(p+q)-1][2] 0.8006 5.677e-01
Lag[4*(p+q)+(p+q)-1][5] 17.4389 9.735e-05
d.o.f=0
H0 : No serial correlation

Weighted Ljung-Box Test on Standardized Squared Residuals
------------------------------------
                     statistic p-value
Lag[1]                   5.272 0.02167
Lag[2*(p+q)+(p+q)-1][5]    8.714 0.01954
Lag[4*(p+q)+(p+q)-1][9] 11.197 0.02750
d.o.f=2

Weighted ARCH LM Tests
------------------------------------
         Statistic Shape Scale P-Value
ARCH Lag[3]    2.772 0.500 2.000 0.09593
ARCH Lag[5]    3.093 1.440 1.667 0.27653
ARCH Lag[7]    3.998 2.315 1.543 0.34690

Nyblom stability test
------------------------------------
Joint Statistic:  1.7516
Individual Statistics:
mu    0.28653
omega  0.28846
alpha1 0.61612
beta1  0.28047
gamma1 0.72655
shape  0.02008

Asymptotic Critical Values (10% 5% 1%)
Joint Statistic:       1.49 1.68 2.12
Individual Statistic: 0.35 0.47 0.75

Sign Bias Test
------------------------------------
               t-value prob sig
Sign Bias          0.6346 0.52589
Negative Sign Bias  1.9883 0.04719  **
Positive Sign Bias  1.8779 0.06083 *
Joint Effect       7.9623 0.04680  **

Adjusted Pearson Goodness-of-Fit Test:
------------------------------------
  group statistic p-value(g-1)
1 20    18.90    0.4632
2 30    28.18    0.5085
3 40    40.05    0.4235
4 50    50.65    0.4082

Elapsed time : 0.4520249