我正在尝试使用GARCH(1,1)模型和rugarch包对returns_180进行1个月的预测。这是我的代码:
ugarch_spec = ugarchspec(variance.model = list(garchOrder = c(1,1)), mean.model = list(armaOrder = c(0,0),include.mean = TRUE),
distribution.model = "norm" )
fit = ugarchfit(spec = ugarch_spec, data = returns_180,solver = 'hybrid')
forecast = ugarchforecast(fit,data = fit,n.ahead = 30)
不幸的是,我得到前2分,之后所有积分相等