[时间序列问题] 请问STATA做出的DCC-GARCH模型结果怎么解读 [推广有奖]

0关注
1粉丝

高中生

55%

还不是VIP/贵宾

威望: 0 级
论坛币: 0 个
通用积分: 10.0183
学术水平: 0 点
热心指数: 0 点
信用等级: 0 点
经验: 322 点
帖子: 15
精华: 0
在线时间: 49 小时
注册时间: 2017-12-21
最后登录: 2020-3-17

楼主

Bella00 发表于 2018-7-19 11:24:37 |AI写论文

是否 +2 论坛币

k人参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

请问STATA做出的DCC-GARCH模型结果怎么解读，这是两变量的，请问怎么对应各自的arch项和GARCH项？
. mgarch dcc (lnif lnhs300=L.lnif L.lnhs300),arch(1) garch(1) dist(t) nolog

Dynamic conditional correlation MGARCH model

Sample: 1 - 2496                                  Number of obs =    9646
Distribution: t                                  Wald chi2(4) =  2.33e+08
Log likelihood =  94281.48                      Prob > chi2    = 0.0000

------------------------------------------------------------------------------
         |    Coef. Std. Err.    z P>|z|    [95% Conf. Interval]
-------------+----------------------------------------------------------------
lnif       |
      lnif |
      L1. | 1.002657 .0006351  1578.73 0.000    1.001412 1.003902
         |
   lnhs300 |
      L1. |  -.0025433 .0006342 -4.01 0.000 -.0037863 -.0013003
         |
   _cons |  -.0008328 .0005714 -1.46 0.145 -.0019527 .0002872
-------------+----------------------------------------------------------------
ARCH_lnif |
      arch |
      L1. | .0945023 .0127626    7.40 0.000    .069488 .1195165
         |
   garch |
      L1. | .8836601 .0166875 52.95 0.000    .8509532 .9163669
         |
   _cons | 1.02e-07 2.45e-08    4.17 0.000    5.40e-08 1.50e-07
-------------+----------------------------------------------------------------
lnhs300    |
      lnif |
      L1. | .0316438 .000831 38.08 0.000    .0300152 .0332725
         |
   lnhs300 |
      L1. | .968458 .0008305  1166.15 0.000    .9668303 .9700857
         |
   _cons |  -.0007808 .0005461 -1.43 0.153 -.0018512 .0002896
-------------+----------------------------------------------------------------
ARCH_lnhs300 |
      arch |
      L1. | .2179676 .0344663    6.32 0.000    .1504149 .2855202
         |
   garch |
      L1. | .8193372 .0238023 34.42 0.000    .7726854 .8659889
         |
   _cons | 9.57e-08 2.27e-08    4.21 0.000    5.11e-08 1.40e-07
-------------+----------------------------------------------------------------
Correlation  |
  lnif    |
   lnhs300 | .7692874 .0050829 151.35 0.000    .7593251 .7792497
-------------+----------------------------------------------------------------
Adjustment |
   lambda1 | .0011966 .0014124    0.85 0.397 -.0015717 .0039648
   lambda2 | .9346517 .0649748 14.38 0.000    .8073034    1.062
-------------+----------------------------------------------------------------
df          |
   _cons | 3.714135 .0833058 44.58 0.000    3.550858 3.877411
------------------------------------------------------------------------------

第一行是代码