VAR-BEKK求助 - 经管之家

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xuanhengliu 发表于 2018-2-23 10:50:08 |AI写论文

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本人最近在做毕业论文，用到VAR-GARCh-BEKK模型，程序已经运行出来了，想请大家帮我看看是否有问题，还有得到的参数怎么读？运行结果如下：
MV-GARCH, BEKK - Estimation by BFGS
NO CONVERGENCE IN 133 ITERATIONS
LAST CRITERION WAS  0.0000000
ESTIMATION POSSIBLY HAS STALLED OR MACHINE ROUNDOFF IS MAKING FURTHER PROGRESS DIFFICULT
TRY HIGHER SUBITERATIONS LIMIT, TIGHTER CVCRIT, DIFFERENT SETTING FOR EXACTLINE OR ALPHA ON NLPAR
RESTARTING ESTIMATION FROM LAST ESTIMATES OR DIFFERENT INITIAL GUESSES MIGHT ALSO WORK
1/Day of Daily(5) Data From 2011:01:07//1 To 2017:06:20//1
Usable Observations                   1683
Log Likelihood                   5695.7563

Variable                      Coeff    Std Error    T-Stat    Signif
************************************************************************************
1.  GY{1}                         1.15540617 0.00605854 190.70708  0.00000000
2.  GY{2}                      -0.11492861 0.00649867 -17.68494  0.00000000
3.  GY{3}                      -0.04754779 0.00282369 -16.83887  0.00000000
4.  YZ{1}                         0.05997409 0.00385133    15.57231  0.00000000
5.  YZ{2}                      -0.02391412 0.00278932    -8.57346  0.00000000
6.  YZ{3}                      -0.02543875 0.00319576    -7.96015  0.00000000
7.  LZ{1}                         0.02425689 0.00284714    8.51972  0.00000000
8.  LZ{2}                      -0.02770258 0.00179557 -15.42825  0.00000000
9.  LZ{3}                      -0.00079431 0.00128251    -0.61934  0.53569127
10. Constant                      0.00224462 0.00360100    0.62333  0.53306622
11. GY{1}                         0.08323938 0.00360458    23.09269  0.00000000
12. GY{2}                      -0.07702384 0.00350500 -21.97540  0.00000000
13. GY{3}                      -0.00307160 0.00087192    -3.52278  0.00042704
14. YZ{1}                         1.12701644 0.00310410 363.07371  0.00000000
15. YZ{2}                      -0.08307976 0.00349716 -23.75633  0.00000000
16. YZ{3}                      -0.04825582 0.00310337 -15.54947  0.00000000
17. LZ{1}                         0.06521621 0.00194935    33.45533  0.00000000
18. LZ{2}                      -0.04948953 0.00156312 -31.66065  0.00000000
19. LZ{3}                      -0.01633792 0.00038334 -42.61999  0.00000000
20. Constant                      0.00622904 0.00324218    1.92125  0.05470041
21. GY{1}                         0.01587759 0.00237755    6.67814  0.00000000
22. GY{2}                      -0.01947620 0.00255409    -7.62550  0.00000000
23. GY{3}                         0.01079987 0.00348531    3.09868  0.00194382
24. YZ{1}                         0.11368331 0.00313281    36.28798  0.00000000
25. YZ{2}                      -0.11153766 0.00288803 -38.62072  0.00000000
26. YZ{3}                         0.00697601 0.00137265    5.08214  0.00000037
27. LZ{1}                         1.23896617 0.00456300 271.52444  0.00000000
28. LZ{2}                      -0.18197499 0.00493476 -36.87614  0.00000000
29. LZ{3}                      -0.06453976 0.00319742 -20.18493  0.00000000
30. Constant                   -0.01635994 0.00365603    -4.47478  0.00000765
31. C(1,1)                      -0.21086110 0.00515090 -40.93679  0.00000000
32. C(2,1)                      -0.06333848 0.01001759    -6.32273  0.00000000
33. C(2,2)                      0.10642885 0.00738239    14.41659  0.00000000
34. C(3,1)                      -0.05700420 0.01150668    -4.95401  0.00000073
35. C(3,2)                      -0.03435418 0.00659442    -5.20959  0.00000019
36. C(3,3)                      0.16682471 0.01233783    13.52140  0.00000000
37. A(1,1)                      1.24613487 0.00432191 288.32972  0.00000000
38. A(1,2)                      -0.06072590 0.00294951 -20.58848  0.00000000
39. A(1,3)                      -0.09290589 0.00335651 -27.67934  0.00000000
40. A(2,1)                      -0.10744229 0.00195129 -55.06205  0.00000000
41. A(2,2)                      0.36660528 0.00159006 230.56054  0.00000000
42. A(2,3)                      -0.04331971 0.00168386 -25.72636  0.00000000
43. A(3,1)                      -0.11863256 0.00159266 -74.48712  0.00000000
44. A(3,2)                      -0.00769149 0.00159752    -4.81463  0.00000147
45. A(3,3)                      0.41507658 0.00163471 253.91390  0.00000000
46. B(1,1)                      0.98962636 0.00084075 1177.07363  0.00000000
47. B(1,2)                      0.00471132 0.00094026    5.01064  0.00000054
48. B(1,3)                      -0.00248821 0.00086284    -2.88374  0.00392989
49. B(2,1)                      -0.00617746 0.00083947    -7.35873  0.00000000
50. B(2,2)                      0.97750658 0.00164844 592.99056  0.00000000
51. B(2,3)                      -0.00216417 0.00073934    -2.92718  0.00342055
52. B(3,1)                      0.00182612 0.00051831    3.52321  0.00042635
53. B(3,2)                      0.00704082 0.00104637    6.72883  0.00000000
54. B(3,3)                      0.98502083 0.00165805 594.08442  0.00000000
55. D(1,1)                      -20.05647032 0.58814369 -34.10131  0.00000000
56. D(1,2)                      7.97009356 0.57389374    13.88775  0.00000000
57. D(1,3)                      0.60786552 0.53796960    1.12993  0.25850766
58. D(2,1)                      -7.05437635 0.32527744 -21.68726  0.00000000
59. D(2,2)                      -41.59250460 0.89637200 -46.40094  0.00000000
60. D(2,3)                      5.22806622 0.61431329    8.51042  0.00000000
61. D(3,1)                      2.88762102 0.24917443    11.58875  0.00000000
62. D(3,2)                      8.70999500 0.64508066    13.50218  0.00000000
63. D(3,3)                      -35.16224274 0.46640480 -75.38997  0.00000000
64. Shape                         2.00001827 0.00000339 589205.01400  0.00000000