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基于R语言的藤copula-var和es测度，garch模型滚动预测
12 个回复 - 3682 次查看本人最近写了一篇基于时间序列和藤copula模型滚动预测var和es的模型，里面包括时间序列的基本检验和描述统计，及其残差的藤copula建模，和数值模拟部分，最后按照garch公式进行迭代编程，得到了Var值和es值。代码是半 ...2022-3-10 15:12 - 撒旦和龙 - 现金交易版

基于GARCH模型比特币的VaR和ES计算R语言
0 个回复 - 1820 次查看以BTC-USD数据为例，基于GARCH模型，分析计算了比特币的VaR(风险价值)与ES(期望损失)。同时也可以计算其他资产的VaR与ES,代码便于模仿，直接替换即可。即使没有R语言基础的也可以模仿，同时代码中有中文注释，便于 ...2021-1-8 00:15 - 201518050108 - 现金交易版

【Matlab代码】系统性风险计算代码（包含VaR、CoVaR、MES、DCC GARCH等）
32 个回复 - 7236 次查看系统性风险计算代码代码跑出结果2022-1-1 20:24 - nn462060 - 现金交易版

在险价值及风险预算,Garch族，条件VaR ES+模型代码 in Python, 条件风险价值
6 个回复 - 2636 次查看在险价值及风险预算,Garch族，条件VaR ES+模型代码 in Python 1.Demo.ipynb 2.Python在险价值及风险预算，Garch族，条件VaR ES.pdf 3.在险价值，VaR，Value at Risk.doc2020-5-31 13:32 - Mujahida - 现金交易版

多元GARCH模型：multivariate time-series estimators in Stata
2 个回复 - 1035 次查看多元GARCH模型：multivariate time-series estimators in Stata, 案例分析+代码code 多元GARCH模型：multivariate time-series estimators in Stata 多元GARCH模型：multivariate time-series estimators in Stata ...2020-7-15 10:37 - lotus_sss - 现金交易版

Modelling multivariate skewness in financial returns: a SGARCH approach
3 个回复 - 1255 次查看【作者(必填)】 Giovanni De Lucaa* & Nicola Loperfidob 【文题(必填)】 Modelling multivariate skewness in financial returns: a SGARCH approach【年份(必填)】 2011 【全文链接或数据库名称(选填)】http: ...2015-12-4 13:17 - internet.hzx - 求助成功区

Strict stationarity and mixing properties of asymmetric power GARCH models allow
3 个回复 - 856 次查看【作者(必填)】O[/backcolor]. Lee,D.W.Shin[/backcolor] 【文题(必填)】Strict stationarity and mixing properties of asymmetric power GARCH models allow 【年份(必填)】2004 【全文链接或数据库名称( ...2020-2-1 21:27 - wangdali - 求助成功区

linear models and time-series analysis - regression, anova, arma and garch 2019
5 个回复 - 1480 次查看 linear models and time-series analysis - regression, anova, arma and garch (2019)2018-11-28 09:45 - loneshark - 数据分析与数据挖掘

Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH
5 个回复 - 3768 次查看 Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH Author(s): Marc S. PaolellaSeries: Wiley Series in Probability and StatisticsPublisher: Wiley, Year: 2018ISBN: 1119431905, ...2019-4-15 12:08 - zfk - 计量经济学与统计软件

Efficient estimation of multivariate semi-nonparametric GARCH filtered copula mo
3 个回复 - 640 次查看【作者(必填)】 2323 【文题(必填)】 Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models【年份(必填)】 2323 【全文链接或数据库名称(选填)】https://www.sciencedirect. ...2021-6-22 14:58 - internet.hzx - 求助成功区

GARCH estat archlm
2 个回复 - 1049 次查看 STATA做GARCH模型之后进行ARCH效应检验用estat archlm，lags(p) 命令出错这个怎么回事呢2021-5-13 14:44 - 欢乐小太阳一号 - Stata专版

R中rugarch软件包关garch模型中的Sign Bias Test 和 Adjusted Pearson Goodness-of-Fi
2 个回复 - 3932 次查看 R中rugarch软件包拟合了Egarch模型,结果出来了但是看不懂sign bias test和Adjusted Pearson Goodness-of-Fit Test，若以上问题结果未通过检验，可以怎样改进呢？2016-7-21 10:40 - Say_┉ - R语言论坛

R语言ugarchfit警告warning: failed to invert hessian
2 个回复 - 1757 次查看做ARMA-Garch，代码如下： spec_m6 garch_m6 *---------------------------------* * GARCH Model Fit * *---------------------------------* Conditional Variance Dynamics ------- ...2021-2-19 16:08 - 卖笑有 - R语言论坛

指导：Copula、CoVaR、GARCH、MES
0 个回复 - 879 次查看 #若需要帮助交流可以联系535844430# 1.收益率相关、均值溢出：ARIMA、协整检验、格兰杰因果检验、向量自回归VAR、向量误差修正VECM、脉冲响应、方差分解。 2.波动率相关、波动溢出：GARCH族、随机波动SV、极端风险Va ...2021-12-24 23:21 - 18650347648 - 经管代码库

Systemic risk measurement: Multivariate GARCH estimation of CoVaR
6 个回复 - 817 次查看【作者(必填)】 232 【文题(必填)】 Systemic risk measurement: Multivariate GARCH estimation of CoVaR 【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/ ...2021-6-21 23:10 - internet.hzx - 求助成功区

用ＲＡＴＳVARMA-GARCH求Q-TEST與Q^TEST和LM_TEST
48 个回复 - 22786 次查看程式如下 VAR(1) model for the mean, BEKK for the variance system(model=var1) variables xjpn xfra xsui lags 1 det constant end(system) garch(p=1,q=1,model=var1,mv=bekk,pmethod=simplex,piters=10) ...2012-2-16 01:12 - bang4kimo - MATLAB等数学软件专版

Forecasting VaR using realized EGARCH model with skewness and kurtosis
1 个回复 - 798 次查看【作者(必填)】 23 【文题(必填)】 Forecasting VaR using realized EGARCH model with skewness and kurtosis【年份(必填)】 2323 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/arti ...2021-6-13 10:41 - internet.hzx - 求助成功区

Efficient estimation of multivariate semi-nonparametric GARCH filtered copula mo
2 个回复 - 643 次查看【作者(必填)】 23 【文题(必填)】 Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/ ...2020-9-12 19:26 - internet.hzx - 文献求助专区

关于eviews 公式series h=ρsf *(garch01)^.5(garch02)^.5中ρsf无法定义问题
0 个回复 - 492 次查看当运用resid01和resid02求得相关系数矩阵后可以看到相关系数，进而使用公式series h=ρsf *(garch01)^.5/(garch02)^.5求动态套期保值比率过程中软件显示出现公式中得ρsf没有定义，ρsf应当就是相关系数，请问该如何 ...2020-3-20 23:12 - 经济门徒 - EViews专版

GARCH Time Series Model (Free)
41 个回复 - 10201 次查看【书名】 Generalized Autoregressive Conditional Heteroscedastic Time Series Models【作者】Michael S. Lo 【出版社】SIMON FRASER UNIVERSITY【出版日期】April 2003【文件格式】PDF 【 ...2008-1-11 03:15 - iammt - 计量经济学与统计软件

limit theory on garch estimator(free)
5 个回复 - 2435 次查看 2006-1-31 13:47 - zhentao - 计量经济学与统计软件

matlab中garch定阶问题estimate
2 个回复 - 3984 次查看各位朋友，我尝试用matlab R2016a构建一个ARIMA-GARCH模型，利用estimate进行参数估计，程序如下第一行和第二行：[/backcolor] 这个时候运行完全没有问题，但当我尝试garch(1,2)或garch(1,3)等高阶阶数时，如上方程 ...2019-11-21 18:03 - 叶晓溪 - 计量经济学与统计软件

winbugs，GARCH-M模型，加载显示contains uninitialized variables，
2 个回复 - 3916 次查看你好，麻烦各位大牛看看这个程序（关于GARCH-M模型），再加载初始值时显示this chain contains uninitialized variables。 model { for( t in 1 : n ){ y[ t ] ~ dnorm( 0.0, tau[t]) } ...2012-4-11 15:39 - 395966902 - R语言论坛

Measuring rank correlation coefficients between financial time series: A GARCH-c
2 个回复 - 387 次查看【作者(必填)】 23 【文题(必填)】 Measuring rank correlation coefficients between financial time series: A GARCH-copula based sequence alignment algorithm【年份(必填)】 23 【全文链接或数据库名称(选 ...2019-5-29 00:41 - internet.hzx - 求助成功区

eviwes8中怎么得到GARCH模型的方差序列
1 个回复 - 4805 次查看已经做出GARCH模型，想要得到他的条件方差序列。2019-5-5 21:43 - 方方的Fb - EViews专版

EVIEWS实现DCC-GARCH报错Missing values in @LOGL,咋么办？
3 个回复 - 3943 次查看最近在做毕业论文，选的是DCC-GARCH研究股市与汇市的波动溢出效应，（日收益率和汇率间）在进行DCC建模时，一直出现 Missing values in @LOGL at current coefficients at observation 1 in"Do-dcc.ml(showopts, ...2013-4-27 22:10 - 张爪爪 - EViews专版

求Conditional Quantile Estimation for GARCH Models的代码
4 个回复 - 1083 次查看最近在看Conditional Quantile Estimation for GARCH Models，有谁知道这篇文章的代码？1000论坛币急求！！！！2014-6-23 10:18 - kkcsj555 - 爱问频道

On change point test for ARMA–GARCH models: Bootstrap approach
1 个回复 - 424 次查看【作者(必填)】 On change point test for ARMA–GARCH models: Bootstrap approach【文题(必填)】【年份(必填)】【全文链接或数据库名称(选填)】2019-3-4 10:51 - 肖恩同学 - 求助成功区

The Copula-GARCH model of conditional dependencies: An international stock marke
2 个回复 - 958 次查看【作者(必填)】 Eric Jondeau , Michael Rockinger【文题(必填)】 The Copula-GARCH model of conditional dependencies: An international stock market application【年份(必填)】 2006 【全文链接或数据库名称 ...2016-7-21 18:50 - internet.hzx - 求助成功区

Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
1 个回复 - 710 次查看【作者(必填)】 Yong 【文题(必填)】 Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models【年份(必填)】 2017 【全文链接或数据库名称(选填)】https://www.tandfonline.com/doi/a ...2018-8-13 22:17 - internet.hzx - 求助成功区

A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
2 个回复 - 513 次查看【作者(必填)】Dennis Kristensen (a1) and Oliver Linton 【文题(必填)】A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 【年份(必填)】 [*]Volume 22, Issue 2 [*]April 2006 , pp. 323-337 【全文 ...2018-1-16 09:20 - 韩信琢玉 - 求助成功区

Monitoring distributional changes of squared residuals in GARCH models
1 个回复 - 423 次查看【作者(必填)】 Fuxiao Li[/backcolor], Fuxiao Li[/backcolor], Zheng Tian[/backcolor], Zhanshou Chen[/backcolor] & Peiyan Qi[/backcolor] Communications in Statistics - Theory and Methods[/backcolor], ...2018-3-3 10:32 - 肖恩同学 - 求助成功区

Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Si
2 个回复 - 590 次查看【作者(必填)】 MJ Rodríguez， E Ruiz 【文题(必填)】 Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities【年份(必填)】 2012 【全文链接或数据库名称(选填)】ht ...2017-12-1 22:24 - internet.hzx - 求助成功区

The Threshold GARCH Model: Estimation and Density Forecasting for Financial Retu
4 个回复 - 458 次查看【作者(必填)】Yuzhi Cai, Julian Stander 【文题(必填)】The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns 【年份(必填)】2019 【全文链接或数据库名称(选填)】https: ...2019-10-9 14:53 - hnhs100 - 求助成功区

求：Impulse Response Function for Conditional Volatility in GARCH Models
2 个回复 - 696 次查看题目：Impulse Response Function for Conditional Volatility in GARCH Models 作者：Wen-Ling Lin 期刊：Journal of Business & Economic Statistics Volume 15, 1997 - Issue 1 连接：http://www.tandfonline ...2017-8-27 08:05 - daodaory - 悬赏大厅

Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal
1 个回复 - 545 次查看【作者(必填)】 WH Cheng, JC Hung 【文题(必填)】 Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns【年份(必填)】 2011 【全文链接或数据库名称(选填)】http ...2017-8-16 13:20 - internet.hzx - 求助成功区

eviews9garch检验中找不到proc\make garch variance series
1 个回复 - 1628 次查看 eviews9garch检验中找不到proc\make garch variance series怎么办，我需要点哪？2017-5-10 20:19 - vivini - EViews专版

Dueker JBES 1997 MS-GARCH models using Winrats
4 个回复 - 3050 次查看 Dueker JBES 1997 MS-GARCH modelsby TomDoan » Mon Sep 12, 2011 1:30 pm[/backcolor]These are replication files for Dueker(1997), "Markov Switching in GARCH Processes and Mean-Reverting Stock-Mark ...2014-6-23 23:57 - 东西方咨询 - MATLAB等数学软件专版

Exponential GARCH Modeling With Realized Measures of Volatility
1 个回复 - 768 次查看【作者(必填)】 Peter Reinhard Hansen[/backcolor] & Zhuo Huang[/backcolor] 【文题(必填)】 Exponential GARCH Modeling With Realized Measures of Volatility【年份(必填)】 2012 【全文链接或数据库名称( ...2016-12-24 16:34 - internet.hzx - 求助成功区

Empirical analysis of ARMA-GARCH models in market risk estimation on high-freque
5 个回复 - 1081 次查看【作者(必填)】Alexander Beck1 / Young Shin Aaron Kim2 / Svetlozar Rachev3 / Michael Feindt4 / Frank Fabozzi5 【文题(必填)】Empirical analysis of ARMA-GARCH models in market risk estimation on high- ...2016-12-18 15:18 - runman - 求助成功区

Eviews中在GARCH模型中加入虚拟变量出现singular variance regressors
1 个回复 - 3373 次查看如图，rsp为收益率序列，d1为虚拟变量，但是在做GARCH（1，1）时，出现singular variance regressors。不明白是什么原因，应该怎么处理？谢求论坛里的大神解惑！2016-4-6 23:23 - cynthiayeah - EViews专版

R中rugarch软件包拟合了Egarch模型,结果出来了但是看不懂sign bias test和Adjusted Pe
0 个回复 - 2457 次查看 R中rugarch软件包拟合了Egarch模型,结果出来了但是看不懂sign bias test和Adjusted Pearson Goodness-of-Fit Test，若以上问题结果未通过检验，可以怎样改进呢2016-7-21 10:44 - Say_┉ - 经济统计专版

Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A Griddy-Gibb
1 个回复 - 1073 次查看【作者(必填)】Qiang Xia, Heung Wong, Jinshan Liu, Rubing Liang 【文题(必填)】Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A Griddy-Gibbs Sampler Approach 【年份(必填)】2016 ...2016-6-9 21:59 - 我来了 - 求助成功区

EVIEWS 里univariate GARCH(1，1)的系数都significant,但是ARCH test却不...
2 个回复 - 795 次查看请问univariate GARCH(1，1)的系数都significant,但是ARCH test却不significant, 这种情况下还可以用GARCH(1,1)吗？为什么会这么奇怪呢？谢谢2016-5-29 05:57 - lachance - EViews专版

厚尾分布下GARCH-EVT-VaR(ES)模型的构建及实证
7 个回复 - 3993 次查看厚尾分布下GARCH-EVT-VaR(ES)模型的构建及实证2009-12-29 23:48 - fulei2003 - 论文版

Eviews 程式碼(GARCH IN MEAN WITH SKEWNESS)
0 个回复 - 829 次查看 x是市场风险溢酬 r是每档股票报酬率小妹我要做一個報告，我以前都點選EVIEWS面板上按鈕操作，沒有學過程式碼。可是這篇的文章要打出程式碼才可以跑，所以我想求助大家，這程式碼要怎麼寫2016-4-29 10:50 - ripc2002 - EViews专版

Eviews 程式碼(GARCH IN MEAN WITH SKEWNESS)
0 个回复 - 661 次查看 x是市场风险溢酬 r是每档股票报酬率小妹我要做一個報告，我以前都點選EVIEWS面板上按鈕操作，沒有學過程式碼。可是這篇的文章要打出程式碼才可以跑，所以我想求助大家，這程式碼要怎麼寫如果有人需要论 ...2016-4-29 10:35 - ripc2002 - EViews专版

Price Risk in Supply Equations: An Application of GARCH Time-Series Models to th
1 个回复 - 641 次查看【作者(必填)】Hollt and Aradhyula 【文题(必填)】Price Risk in Supply Equations: An Application of GARCH Time-Series Models to the U. S. Broiler Market 【年份(必填)】1990 【全文链接或数据库名称( ...2016-4-20 17:16 - yangnay - 求助成功区

[疑难杂症]Bayesian GARCH(1,1) model using WinBUGS?
1 个回复 - 1776 次查看 I am working on Bayesian GARCH models. The benchmark for my research is work by David Ardia and Teruo Nakatsuma who have managed to implement these models well. My problem is coding the MCMC algorithm ...2014-6-15 06:21 - Nicolle - winbugs及其他软件专版

Test for parameter change in ARMA models with GARCH innovations
3 个回复 - 702 次查看 Test for parameter change in ARMA models with GARCH innovations2015-12-12 17:12 - lucky187 - 求助成功区

Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
1 个回复 - 639 次查看 Copula parameter change test for nonlinear AR models with nonlinear GARCH errors2015-12-12 17:01 - lucky187 - 求助成功区

Testing for parameter constancy in GARCH(p,q) models
2 个回复 - 795 次查看 Testing for parameter constancy in GARCH(p,q) models2015-12-12 16:31 - lucky187 - 求助成功区

Residual-based rank specification tests for AR–GARCH type models
2 个回复 - 756 次查看【作者(必填)】 [*]Elena Andreou1, , [*]Bas J.M. Werker 【文题(必填)】 Residual-based rank specification tests for AR–GARCH type models【年份(必填)】 2015 【全文链接或数据库名称(选填)】http:// ...2015-12-7 15:22 - internet.hzx - 求助成功区

bayesGARCH
3 个回复 - 1700 次查看 bayesGARCH: Bayesian Estimation of the GARCH(1,1) Model with Student-t InnovationsThis package provides the bayesGARCH function which performs the Bayesian estimation of the GARCH(1,1) model with Stud ...2014-7-7 22:36 - Nicolle - winbugs及其他软件专版

Forecasting Volatilities and Correlations with EGARCH Models
2 个回复 - 1196 次查看【作者(必填)】Robert Cumby , Stephen Figlewski , and Joel Hasbrouck 【文题(必填)】Forecasting Volatilities and Correlations with EGARCH Models 【年份(必填)】1993 【全文链接或数据库名称(选填)】 ...2014-7-22 22:10 - lipj - 求助成功区

on the cusum test for parameter changes in GARCH
1 个回复 - 828 次查看 on the cusum test for parameter changes in GARCH(1,1)2015-5-31 10:12 - lucky187 - 求助成功区

Best MATLAB GARCH toolbox
66 个回复 - 28526 次查看 USCD GARCH toolbox by Kevin Sheppard (Engle's Student), a lot of more fonctions than MATLAB GARCH toolbox. For example, MGARCH like BEKK, DCC models.2007-2-13 11:59 - KoonHui - MATLAB等数学软件专版

Harvey +EGARCH models with fat tails, skewness and leverage
1 个回复 - 663 次查看【作者(必填)】A. C. Harvey and G. Sucarrat 【文题(必填)】 EGARCH models with fat tails, skewness and leverage 【年份(必填)】2014 【全文链接或数据库名称(选填)】2015-3-21 10:00 - harlon1976 - 求助成功区

winrates GARCH拟合后的残差急急在线等
3 个回复 - 1968 次查看用RATES 做完多元garch以后，想检验标准化残差平方的q统计量。出现如下结果,如何破？或者如何提取标准化残差的平方？ set z1 = rd(t)(1)/sqrt(hd(t)(1,1)) set z1sq=z1^2 ## SR3. Tried to Use Series Number ...2015-2-14 15:46 - wdz2012 - 爱问频道

Bootstrapping Fuzzy-GARCH Regression in MATLAB
2 个回复 - 5105 次查看 Fuzzy-GARCH Regression bootstrapping in MATLAB Programming routines for GARCH and Fuzzy-GARCH with standard bootstrap in the residuals. [Attach] 1694430 [/ attach] [Attach] 1694430 [/ attach] ...2014-12-14 23:12 - xox_ir - 计量经济学与统计软件

关于ccgarch程序包中的eccc.estimation函数的使用
2 个回复 - 3234 次查看请教给位大神， R软件中的ccgarch程序包中的eccc.estimation()函数估计常相关系数的GARCH模型时，估计收益率的波动率，是直接对收益率进行估计，还是对收益率拟合一个均值方程，然后对均值方程的残差拟合二 ...2014-9-19 10:22 - leaninga - R语言论坛

[parameters, likelihood, ht, stderrors, robustSE, scores, grad]=garchpq(x,1,1);
1 个回复 - 1692 次查看 =garchpq(x,1,1); 执行后，出现了以下警告，Warning: Options LargeScale = 'off' and Algorithm = 'trust-region-reflective' conflict. Ignoring Algorithm and running active-set algorithm. To run trust-reg ...2014-6-7 21:25 - 采儿 - EViews专版

An excellent package for GARCH estimation
8 个回复 - 3825 次查看 http://www.core.ucl.ac.be/~laurent/G@RCH/site/index.html?content=/~laurent/G@RCH/site/garchintro.html2005-5-24 23:58 - zaobao - Excel

如何用tseries包中的garch函数进行预测？
1 个回复 - 3590 次查看查看了帮助，predict(object, newdata, genuine = FALSE, ...) 不理解newdata怎样设置。2012-8-26 17:16 - 耕耘使者 - R语言论坛

Asset allocation in a Bayesian copula-GARCH framework
3 个回复 - 892 次查看【作者(必填)】Long Kang 【文题(必填)】Asset allocation in a Bayesian copula-GARCH framework: An application to the ‘passive funds versus active funds’ problem [/backcolor]【年份(必填)】2011 【 ...2014-10-17 12:53 - lipj - 求助成功区

Bayesian estimation of the Gaussian mixture GARCH model
2 个回复 - 1050 次查看【作者(必填)】 [*]María Concepción Ausína, , , [*]Pedro Galeanob 【文题(必填)】 Bayesian estimation of the Gaussian mixture GARCH model 【年份(必填)】 2007 【全文链接或数据库名称(选填)】ht ...2014-7-20 17:20 - galilee - 求助成功区

Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS
0 个回复 - 1431 次查看【作者(必填)】Chen-Ye Changa, Xi-Yuan Qiana* & Sheng-Yuan Jiana 【文题(必填)】Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS 【年份(必填)】2012 【全文链接或数据库名称 ...2014-8-13 21:50 - lipj - 求助成功区

Bivariate GARCH estimation of the optimal hedge ratios for stock index futures
1 个回复 - 1023 次查看【作者(必填)】Tae H. Park;Lorne N. Switzer 【文题(必填)】Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note 【年份(必填)】1995年【全文链接或数据库名称(选填) ...2014-7-30 13:29 - hejihai - 求助成功区

Generalized EGARCH Random Effect Models Application to Financial Time Series
1 个回复 - 1050 次查看【作者(必填)】Edilberto Cepeda-Cuervoa* 【文题(必填)】Generalized EGARCH Random Effect Models Application to Financial Time Series 【年份(必填)】2010 【全文链接或数据库名称(选填)】http://www ...2014-7-12 13:21 - lipj - 求助成功区

Bayesian estimation of a Markov-switching threshold asymmetric GARCH model
2 个回复 - 1162 次查看【作者(必填)】David Ardia 【文题(必填)】Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations 【年份(必填)】2008 【全文链接或数据库名称(选填 ...2014-7-7 23:29 - lipj - 求助成功区

[疑难杂症]Is it possible to estimate ARIMA-GARCH models in WinBugs
1 个回复 - 904 次查看 First of all, It is possible to estimate ARIMA-GARCH models in WinBugs, but, there are a few problems: 1. If a model has a lot of latent variables, WinBugs will be slow, sometimes It will even free ...2014-6-15 06:24 - Nicolle - winbugs及其他软件专版

EmpiricalAnalysis of Stock Index Futures Risk Management Based on CVaR-GARCH-GED
2 个回复 - 1266 次查看【作者(必填)】 [*]Xiao-bo Zhang 【文题(必填)】Empirical Analysis of Stock Index Futures Risk Management Based on CVaR-GARCH-GED Model 【年份(必填)】Proceedings of 20th International Conferenc ...2014-5-21 22:43 - nkky2011 - 求助成功区

估计Garch模型时给出警告 requires a contious sample
1 个回复 - 1821 次查看这是怎么回事啊2014-5-17 22:14 - huohuo58 - EViews专版

(free)Financial Risk Management with Bayesian Estimation of GARCH Models
21 个回复 - 5162 次查看 ~~~~~~~~~~~~~2009-8-13 06:16 - yhongl12 - 金融学（理论版）

时间序列notes（包括ARIMA，ARCH&GARCH，VAR和VECM）(英文)包括eviews操作
107 个回复 - 8637 次查看 **** 本内容被作者隐藏 ****2013-10-23 09:16 - liuyang721 - EViews专版

GARCH（2,2）模型resid(-1)^2一项不显著如何剔除？
0 个回复 - 950 次查看求助大神呀！！虽然我在Matlab中找到剔除的方法，但是matlab中GARCH如何引入外生变量和虚拟变量不知道怎么处理！没找到任何文件说明这个问题！2014-2-18 20:15 - 癜狂书生 - MATLAB等数学软件专版

Multivariate GARCH models -- software choice and estimation issues
2 个回复 - 1744 次查看 Multivariate GARCH models -- software choice and estimation issues2010-2-11 14:22 - hardmann - EViews专版

各位老师能帮助一下吗？关于R的package-bayesGARCH算出模型后的预测
1 个回复 - 1419 次查看各位老师，请问这个包有带预测功能吗？如果没用用什么实现预测比较好呢？可以用garchFIT里的predict-method嘛？谢谢各位老师解答！2013-4-3 16:29 - leliang65 - R语言论坛

求助bivariate garch estimation of the optimal commodity futures hedge
2 个回复 - 998 次查看 2013-9-6 18:09 - a1498318 - 学术道德监督

STATA 中的GARCH 是怎么estimate 出来的？
1 个回复 - 1503 次查看求助，stata中的GARCH 模型是通过 quasi-maxmium likelihood estimation 估计出来的吗？还是其他的什么function?2013-8-31 16:07 - 晨曦薯片 - Stata专版

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