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garch模型族的EVIEWS的操作课件_图文

GARCH Eviews


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Eviews

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Eviews
EviewsEconometrics Views ""
Eviews

Eviews
Eviews

Eviews

1
2


Eviews
3
4T Granger
5 ARCH
6Probitlogit Gompit

Eviews
7 8 9 10 11 12 13
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180
180200881 2010113548 {p} {r}{r}

File/New/workfile

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"Workfilefrequency" 57
"Start date""End date" ""
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19992009Start date1999 End date2009 1219992009 Start date19991 End date 20092 1-419992009 Start date19991 End date 20093
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1-1219991200912 Start date19991 End date 200912
//200712009 1Start date1/1/2007End date1/4/2009
//20083520098 20Start date3/5/2008End date 8/20/2009.
200Start date1 End date 200
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integer-data Start date1 End date548
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/EViews Objects/New Object OK

EXCEL File/Import/Read Text-Lotus-
ExcelExcel" "
Names for
series or Number if named in file
p p

Eviewsworkfile
Objects/Generate Series
DLog Exp^2......
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p r,r=dlogp
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1. rView-graph-line
rt

180r " " 150200 40 100
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view-descriptive statistics--histogram and stats
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Mean 0.000256 Std. Dev. 0.001426 Skewness 0.1410 Kurtosis4.596 3 JarqueBera59.85P 0.00000
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View-Unit Root TestTest Type Augmented Dickey-Fuller
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ADF
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t -22.88 P 0 {r}

View-correlogramLags to
include12ok
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Qp 0.055
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rw Objects/Generate Series w=r-0.000256 w
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ARCH
ARCHLM
ARMAE-views LM wzObjects/Generate Seriesz= w2
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view-correlogram ok
ARCH
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GARCH
(1)GARCH (2)T-GARCH (3)E-GARCH
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GARCHGARCH(1,1) GARCH(1,2)GARCH(2,1) GARCH(1,1):
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Quick/Estimate Equation, MethodGARCH,Mean equation wARCHGARCH1
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1GARCH(1,1)
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1GARCH(2,1)
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1GARCH(1,2)
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GARCH11 tT-GARCH E-GARCH
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T-GARCH Quick/Estimate Equation, MethodGARCH/TGARCH Threshold1
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T-GARCH(1,1)
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E-GARCH
Quick/Estimate Equation, MethodEGARCH Threshold0

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EGARCH(1,1) "ARCH-M"
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Variance Page 48ARCH-M


EARCH(11)ARCH EARCH(11) View /Residual Test /ARCH LM TestLag=148 12lag=4
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lagF ARCH EGARCH(11)
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r tGEDE-views
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tQuick/Estimate Equation, Method Student's t GEDGED
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180 EGARCH(11)

" ",

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