<br />
#载入包<br />
library(rgarch)<br />
#设定模型<br />
variance.model=list(model="fGARCH",garchOrder=c(1,1),submodel="GARCH",external.regressors=NULL)<br />
mean.model=list(armaOrder=c(1,1),include.mean=T,garchInMean=F,inMeanType=1,arfima=F,external.regressors=NULL)<br />
#设定distribution.model="std"<br />
spec=ugarchspec(variance.model=variance.model,mean.model=mean.model,distribution.model="std")<br />
#拟合参数<br />
fit=ugarchfit(data=DATA,spec=spec,out.sample=0,solver="solnp")<br />
</p>
