Question

我正在使用rmgarch软件包来估计具有外部回归量的多变量GARCH模型。

在规范中，我包含了适用于条件均值的VAR模型的选项，因为我也对这个结果感兴趣。

我似乎无法找到在估算后给出VAR系数的命令。输出现在仅提供GARCH系数。这有可能提取吗？

以下代码，如果这对任何方式都有帮助。谢谢！

spec1 <- ugarchspec(variance.model = list(model = "eGARCH", garchOrder = c(1, 1),
                    external.regressors = VAREXO),
                    mean.model = list(armaOrder = c(1, 1), include.mean = TRUE,
                    external.regressors = VAREXO),
                    distribution.model = "norm")

spec2 <- ugarchspec(variance.model = list(model = "eGARCH", garchOrder = c(1, 1),
                    external.regressors = VAREXO),
                    mean.model = list(armaOrder = c(1, 1), include.mean = TRUE,
                    external.regressors = VAREXO),
                    distribution.model = "norm")

spec3 <- ugarchspec(variance.model = list(model = "eGARCH", garchOrder = c(1, 1),
                    external.regressors = VAREXO),
                    mean.model = list(armaOrder = c(1, 1), include.mean = TRUE,
                    external.regressors = VAREXO),
                    distribution.model = "norm")

speclist <- list(spec1, spec2, spec3)
mspec <- multispec(speclist)

spec4 <- dccspec(mspec, VAR = TRUE, lag = 1, lag.criterion = c("AIC", "HQ", "SC", "FPE"), 
                 external.regressors = VAREXO,
                 dccOrder = c(1,1), model = "DCC", distribution = "mvnorm")

fit <- dccfit(spec4, VARENDO, fit.control = list(eval.se = TRUE, stationarity = TRUE)

Answer 1

您应该尝试fit @ model [[“ varcoef”]]

如何使用R中的rmgarch包获得多变量DCC garch的VAR输出

1 个答案: