我用rugarch程序包建立了egarch的拟合模型,得到参数估计后,想进行拟合,却发现拟合的结果都为0,请问有人知道这是什么情况?
程序如下:
myspec=ugarchspec(variance.model = list(model = "eGARCH", garchOrder = c(1, 1), submodel = NULL, external.regressors = NULL, variance.targeting = FALSE), mean.model = list(armaOrder = c(0, 0), include.mean =FALSE, archm = FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALSE), distribution.model = "norm")
myfit=ugarchfit(myspec,data=ibm,solver="solnp")
myfit@fit$fitted
得到的拟合值为什么全部为0?
还是因为数据小导致的?基本上为小数点后三四位。


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