时间序列作业Word文档格式.docx

1、informetrics.org Warning messages:1:package fGarch was built under R version 3.1.2 2:package timeDate was built under R version 3.1.2 08.0 ooo 3:package timeSeries was built under R version 3.1.2 a4=garchFit（arma（1,0）+garch（1,1）,r.x）Series Initialization:ARMA Model:arma Formula Mean:arma（1,0）GARCH M

2、odel:garch Formula Variance:garch（1,1）ARMA Order:1 0 Max ARMA Order:1 GARCH Order:1 1 Max GARCH Order:1 Maximum Order:1 Conditional Dist:norm h.start:2 llh.start:1 Length of Series:27 Recursion Init:mci Series Scale:Parameter Initialization:20.7458 Initial Parameters:$params Limits of Transformation

3、s:$U,$V Which Parameters are Fixed?$includes Parameter Matrix:U V params includes mu-0.12078958 0.1207896 0.007939075 TRUE ar1-0.99999999 1.0000000 0.234298886 TRUE omega 0.00000100 100.0000000 0.100000000 TRUE alpha1 0.00000001 1.0000000 0.100000000 TRUE gamma1-0.99999999 1.0000000 0.100000000 FALS

4、E beta1 0.00000001 1.0000000 0.800000000 TRUE delta 0.00000000 2.0000000 2.000000000 FALSE skew 0.10000000 10.0000000 1.000000000 FALSE shape 1.00000000 10.0000000 4.000000000 FALSE Index List of Parameters to be Optimized:mu ar1 omega alpha1 beta1 1 2 3 4 6 Persistence:0.9 -START OF TRACE-Selected

5、Algorithm:nlminb R coded nlminb Solver:0:37.574412:0.00793908 0.234299 0.100000 0.100000 0.800000 1:37.128348:0.00794899 0.167188 0.333304 1.00000e-08 0.695922 2:36.902954:0.00794861 0.174664 0.305472 1.00000e-08 0.664218 3:36.856091:0.00794604 0.216516 0.298943 1.00000e-08 0.657780 4:36.850350:0.00

6、794521 0.220996 0.306690 1.00000e-08 0.664983 5:36.845754:0.00793639 0.226737 0.309238 1.00000e-08 0.655392 6:36.843474:0.00788913 0.239778 0.323489 1.00000e-08 0.643582 7:36.842988:0.00776677 0.240237 0.330735 1.00000e-08 0.633896 8:36.842682:0.00761032 0.240455 0.343457 1.00000e-08 0.619815 9:36.8

7、39712:0.00523225 0.243304 0.553364 1.00000e-08 0.391087 10:36.839252:0.00444561 0.240241 0.605022 1.00000e-08 0.334519 11:36.838980:0.00363931 0.238814 0.644894 1.00000e-08 0.290676 12:36.838327:0.00148085 0.237001 0.733714 1.00000e-08 0.192581 13:36.836416:-0.00402466 0.234857 0.906571 1.00000e-08

8、1.00000e-08 14:36.834786:-0.00643944 0.235589 0.903872 1.00000e-08 1.00000e-08 15:36.830950:-0.0188583 0.240773 0.890382 1.00000e-081.00000e-08 16:36.830919:-0.0185611 0.241192 0.891000 1.00000e-081.00000e-08 17:36.830860:-0.0184226 0.242130 0.892111 1.00000e-081.00000e-08 18:36.830795:-0.0186646 0.

9、242727 0.893182 1.00000e-081.00000e-08 19:36.830668:-0.0196979 0.243142 0.895162 1.00000e-081.00000e-08 20:36.830575:-0.0210243 0.242593 0.896435 1.00000e-081.00000e-08 21:36.830543:-0.0218066 0.241684 0.896507 1.00000e-081.00000e-08 22:36.830540:-0.0218885 0.241331 0.896210 1.00000e-081.00000e-08 23:-0.0218578 0.241293 0.896120 1.00000e-081.00000e-08 24:-0.0218520 0.241295 0.896113 1.00000e-081.00000e-