Question

我试图运行DCC多变量GARCH模型。当我运行模型时，它只显示GARCH部分的统计数据，但我也需要VAR部分的统计数据。有谁知道怎么做？

这是我的惯例：

library(parallel)
library(rugarch)
library(rmgarch)
library("tseries")
library("zoo")
library("forecast")
library("FinTS")
library("vars")
library("MTS"

uspec.n = multispec(replicate(3, ugarchspec(mean.model = list(armaOrder = c(1,1)))))
dcc.11mn = dccspec(uspec.n, VAR = TRUE, lag = 4, lag.max = 12, dccOrder = c(1, 1), distribution = 'mvnorm')
fit.2.11mn = dccfit(dcc.11mn, data = B [1:192, 1:3])

这是我的结果：

---------------------------------*
*          DCC GARCH Fit          *
*---------------------------------*

Distribution         :  mvnorm
Model                :  DCC(1,1)
No. Parameters       :  26
[VAR GARCH DCC UncQ] : [12+9+2+3]
No. Series           :  3
No. Obs.             :  192
Log-Likelihood       :  -777.3919
Av.Log-Likelihood    :  -4.05 

Optimal Parameters
-----------------------------------
               Estimate  Std. Error  t value Pr(>|t|)
[rtc].omega    0.000103    0.000092 1.128480 0.259117
[rtc].alpha1   0.299707    0.172126 1.741210 0.081647
[rtc].beta1    0.594874    0.212706 2.796699 0.005163
[ei].omega     0.014031    0.006434 2.180585 0.029214
[ei].alpha1    0.793922    0.223400 3.553810 0.000380
[ei].beta1     0.205078    0.111009 1.847400 0.064689
[i2].omega   682.273357  833.174186 0.818884 0.412852
[i2].alpha1    0.218414    0.061933 3.526637 0.000421
[i2].beta1     0.726249    0.082908 8.759650 0.000000
[Joint]dcca1   0.000000    0.000000 0.000032 0.999974
[Joint]dccb1   0.923723    0.121097 7.627947 0.000000

但是VAR的统计数据呢？

Answer 1

请参阅rmgarch软件包的varfit函数，例如lags=4。

V<-varxfit(data, 4, constant = TRUE)
show(V)
and you must correct the dccspec function as below:
dcc.11mn = dccspec(uspec.n, VAR = TRUE, lag = 4, lag.max = 12, dccOrder = c(1, 1), distribution = 'mvnorm', VAR.fit=V, out.sample=4)

在R中拟合DCC Garch模型

1 个答案: