这是我做的命令 这次没报错 但是还是怕有什么问题希望老师看下 还是天然橡胶的那个数据
这是我写的程序
dat=read.table(file="ru.txt",head=T)
dat
ru1m=dat[,1]
ru1m
lnru1m=log(ru1m)
lnru1m
r=diff(lnru1m)
r
r=as.matrix(r)
r
acf(r)
pacf(r)
acf(r^2)
pacf(r^2)
v=dat[,2]
v
v=as.matrix(v)
v
variance.model=list(model="fGARCH",garchOrder=c(1,1),submodel="GARCH",external.regressors= v );
mean.model=list(armaOrder=c(1,0),include.mean=T,garchInMean=F,inMeanType=1,arfima=F,exteranl.regressors= NULL );
spec=ugarchspec(variance.model=variance.model,mean.mode=mean.model,distribution.model="std");
fit=ugarchfit(data=r,spec=spec,out.sample=0,solver="solnp")
fit
这是输出结果
*---------------------------*
* GARCH Model Fit *
*---------------------------*
Spec
--------------------------
Model : fGARCH (1,1) Sub-Model : GARCH
Exogenous Regressors in variance equation: 1
Include Mean : TRUE
AR(FI)MA Model : (1,0,0)
Garch-in-Mean : FALSE
Exogenous Regressors in mean equation: none
Conditional Distribution: std
Optimal Parameters
--------------------------
Estimate Std. Error t value Pr(>|t|)
mu -0.000059 0.000027 -2.129904 0.033180
ar1 0.002543 0.005778 0.440155 0.659825
omega 0.000000 0.000000 0.027919 0.977727
alpha1 0.049929 0.015711 3.178030 0.001483
beta1 0.875692 0.007551 115.974655 0.000000
vxreg1 0.000000 0.000000 0.000924 0.999263
shape 3.832339 0.358362 10.694041 0.000000
Robust Standard Errors:
Estimate Std. Error t value Pr(>|t|)
mu -0.000059 NaN NaN NaN
ar1 0.002543 NaN NaN NaN
omega 0.000000 NaN NaN NaN
alpha1 0.049929 NaN NaN NaN
beta1 0.875692 NaN NaN NaN
vxreg1 0.000000 NaN NaN NaN
shape 3.832339 NaN NaN NaN
LogLikelihood : 6044.039
Information Criteria
--------------------------
Akaike -10.742
Bayes -10.711
Shibata -10.742
Hannan-Quinn -10.730
