[求助]eviews 里边对garch是如何用的
请问eviews 里边对garch是如何用的呢？[此贴子已经被aspen于2006-3-31 22:24:50编辑过]
回复：（fastapollo）[求助]eviews 里边对garch是如何...
<P align=left><FONT face="Times New Roman">To estimate an ARCH or GARCH model, open the Equation Specification dialog by selecting </FONT>“<FONT face="Times New Roman">Quick/Estimate Equation</FONT>”<FONT face="Times New Roman"> or by selecting </FONT>“<FONT face="Times New Roman">Object/New Object/Equation</FONT>”<FONT face="Times New Roman">. Select ARCH from the method combo box. The Equation Specification dialog will change. You need to specify both the mean and the variance equations, as well as the estimation technique and sample.</FONT></P><P align=left>The mean equation：<FONT face="Times New Roman">In the<U> dependent </U>variable edit box, you should enter the specification of the mean equation. You can enter the specification in list form by listing the dependent variable followed by the regressors. If your specification includes an ARCH-M term, you should click on the appropriate radio button in the upper right-hand side of the dialog.</FONT></P>
<P align=left>The variance <FONT face="Times New Roman">e</FONT>quation：(1)<FONT face="Times New Roman">In the edit box labeled Variance Regressors, you may optionally list variables you wish to include in the variance specification. Note that EViews will always include a constant as a variance regressor so that you do not need to add C to the list. </FONT>(2)<FONT face="Times New Roman"> Under the ARCH Specification label, you should choose the number of ARCH and GARCH terms. The default is to estimate with one ARCH and one GARCH term. This is by far the most popular specification. </FONT>“<FONT face="Times New Roman">GARCH (symmetry)</FONT>”<FONT face="Times New Roman">should also be chosen at the present time.
<br></FONT>
<p>
<P align=left>Estimation options : <FONT face="Times New Roman">EViews provides you with access to a number of optional estimation settings. Simply click on the Options button and fill out the dialog as required: Click on the check box labeled </FONT>“<FONT face="Times New Roman">Heteroskedasticity Consistent Covariance</FONT>”<FONT face="Times New Roman">. You should use this option if you suspect that the residuals are not conditionally normally distributed. When the assumption of conditional normality does not hold, the ARCH parameter estimates will still be consistent, provided the mean and variance functions are correctly specified. The estimates of the covariance matrix will not be consistent unless this option is specified, resulting in incorrect standard errors. Note that the parameter estimates will be unchanged if you select this option; only the estimated covariance matrix will be altered.</FONT></P>
[此贴子已经被作者于2006-4-1 6:17:59编辑过]
页:
[1]