如題,我想用rugarch包算時(shí)間序列的garch模型,包括外生變量,請(qǐng)問(wèn)該如何編,我的程序問(wèn)題在哪里。
數(shù)據(jù)見(jiàn)附件,1.我的變量維度是時(shí)間和國(guó)家,2.核心變量是 股指年收益率,3.外生變量是第9,10列數(shù)據(jù)。
aa<-read.csv("aa.csv",stringsAsFactors=F)
library(rugarch)
spec = ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1),external.regressors =aa[,9:10] ),
? ?? ???mean.model = list(armaOrder = c(1, 1),include.mean = TRUE, arfima = FALSE,external.regressors =aa[,9:10] ),
? ?? ?? ?distribution.model = "sged")
fit= ugarchfit(spec = spec,aa[,c(1:2,4)])
fit
報(bào)錯(cuò):
Error in optim(init[mask], armaCSS, method = optim.method, hessian = TRUE,??:
??'vmmin'的初始值不能為無(wú)窮大
解決方法:
gjr.spec <- ugarchspec( # start ugarch specification
? ? variance.model = list(model = "gjrGARCH", # select Treshold-GARCH
? ?? ?? ?? ?? ?? ?? ?? ???garchOrder = c(1, 1), # GARCH(1, 1), order c(1,1) is in fact the default
? ?? ?? ?? ?? ?? ?? ?? ???external.regressors = as.matrix(dfr[, "mon"])), # monday effect in variance
? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?# given as an external regressor. Must be
? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?# a matrix!
? ? mean.model = list(armaOrder = c(0, 1), # MA(1) specification
? ?? ?? ?? ?? ?? ?? ? external.regressors = as.matrix(dfr[, c("mon")])), # Monday effect in the returns
? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?? ?# must be a matrix!
? ? distribution.model = "sstd" # Student t as the conditional distribution
? ? ) # end??ugarch specification








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