请教大家一个问题,在此感谢了。
本人在用eviews做EGARCH-M模型时发现 模型里的a系数总是通不过显著性,所有的指数都一样,请问什么原因啊?(标红位置)
Included observations: 1301 after adjustments
Convergence achieved after 15 iterations
Presample variance: backcast (parameter = 0.7)
LOG(GARCH) = C(4) + C(5)*ABS(RESID(-1)/@SQRT(GARCH(-1))) + C(6)
*RESID(-1)/@SQRT(GARCH(-1)) + C(7)*LOG(GARCH(-1))
Variable Coefficient Std. Error z-Statistic Prob.
@SQRT(GARCH) 0.350063 0.138204 2.532951 0.0113
C -0.197119 0.086838 -2.269952 0.0232
HRC(-1) 0.079620 0.029026 2.743095 0.0061
Variance Equation
C(4) -0.163294 0.033058 -4.939628 0.0000
C(5) 0.159419 0.032412 4.918522 0.0000
C(6) -0.011016 0.019456 -0.566205 0.5713
C(7) 0.955909 0.014879 64.24474 0.0000
T-DIST. DOF 13.36439 5.165754 2.587113 0.0097
R-squared 0.009945 Mean dependent var 0.027851
Adjusted R-squared 0.008420 S.D. dependent var 0.692909
S.E. of regression 0.689986 Akaike info criterion 1.986852
Sum squared resid 617.9526 Schwarz criterion 2.018649
Log likelihood -1284.447 Hannan-Quinn criter. 1.998782
Durbin-Watson stat 2.029068