时间序列分析解析第四次作业——房青b071209410712.docVIP

时间序列分析第四次作业 ——房青 B0712094 1071209153 1. ARMA-GARCH modeling of SSE Composite Index. Use the recent 1000 obervations on the log return of the SSECI. (1) Use PACF to identify an ARCH model of the series. In terms of correlations, is this model adequate for the modeling of the conditional heteroskedasicity? And what about the conditional mean? SSECI对数收益率PACF图 通过PACF图，可以确定ARCH模型的阶数为24。 对ARCH（24）模型残差的Ljung-Box检验 Ljung-Box test for standardized residuals: Statistic P-value Chi^2-d.f. 28.83 0.004172 12 Ljung-Box test for squared