[经济学]金融计量学张成思Lecture 10-1.pptVIP

图10-7 EViews中ARCH效应检验结果 正态分布、t分布和广义误差分布对应的t时刻的对数似然函数分别为： 表10-3 标普500股票收益率的GARCH（1,1）估计结果－t分布结果 Dependent Variable: SP500RETURN Method: ML - ARCH (Marquardt) - Students t distribution Sample (adjusted): 1/05/1950 4/13/2007 Included observations: 14409 after adjustments Convergence achieved after 15 iterations Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) Coefficient Std. Error z-Statistic Prob.?? C 0.000472 5.37E-05 8.790214 0.0000 SP500RETURN(-1) 0.110851 0.008388 13.21467 0.0000 Variance Equation C 5.54E-07 8.50E-08 6.518120 0.0000