z****n
发帖数: 17 | 1 I need to simulate a Garch model of any parameter settings and then use
Rmetric GarchFit to estimate the parameteres( such as beta and alpha).
here's how i did it.
e_0=0.5
e_t= sigma_t * z_t , where z_t ~ Norm(0,1) iid
sigma_t ^2 = a_0 + a_1 * e_(t_1) ^2 + b_1 * sigma_(t_1) ^2.
I set a_0 = 0.2 a_1 = 0.4 b_1 = 0.4.
However, the Garchfit can't get the parameters right.
Does anyone know what's wrong with my garch model? thanks | n****w
发帖数: 156 | 2 sigma_0是多少？
不过看着应该是对的
你把你的code发到x********[email protected]我试试看吧
【在 z****n 的大作中提到】
: I need to simulate a Garch model of any parameter settings and then use
: Rmetric GarchFit to estimate the parameteres( such as beta and alpha).
: here's how i did it.
: e_0=0.5
: e_t= sigma_t * z_t , where z_t ~ Norm(0,1) iid
: sigma_t ^2 = a_0 + a_1 * e_(t_1) ^2 + b_1 * sigma_(t_1) ^2.
: I set a_0 = 0.2 a_1 = 0.4 b_1 = 0.4.
: However, the Garchfit can't get the parameters right.
: Does anyone know what's wrong with my garch model? thanks
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