RSH

变量

系数

标准误差

Z统计量

P值

GARCH(1,1)

GARCH = C(1) + C(2) * RESID(−1)² + C(3) * GARCH(−1)

C

8.65E−07

2.12E−07

4.073580

0.0000

RESID(−1)²

0.058969

0.007484

7.879622

0.0000

GARCH(−1)

0.932825

0.007136

130.7214

0.0000

GARCH(1,2)

GARCH = C(1) + C(2) * RESID(−1)² + C(3) * GARCH(−1) +C(4) * GARCH(−2)

C

1.85E−06

3.74E−07

4.953631

0.0000

RESID(−1)²

0.099754

0.012875

7.747851

0.0000

GARCH(−1)

0.002631

0.014534

0.181008

0.8564

GARCH(−2)

0.877985

0.021178

41.45796

0.0000

GARCH(2,1)

GARCH = C(1) + C(2) * RESID(−1)² + C(3) * RESID(−2)² + C(4) * GARCH(−1)

C

9.07E−07

2.27E−07

3.993215

0.0001

RESID(−1)²

0.043196

0.024773

1.743666

0.0812

RESID(−2)²

0.017550

0.027121

0.647094

0.5176

C

9.07E−07

2.27E−07

3.993215

0.0001