原油期货与沪深300价格收益率均值的GARCH(1,1)-t参数估计

参数

μ

ω

γ

α

β

ν

对数似然值

原油

0.015856

0.047487

−0.003983

0.114552

0.853803

2.182305

2893.667

t值

0.508387

1.625874

0.175902

7.191494

43.93495

3.923083

标准差

0.031189

0.029207

0.222641

0.015929

0.019433

5.562306

沪深300

0.009054

0.003074

−0.007371

0.102737

0.860814

6.992306

3653.845

t值

0.290288

0.094904

0.3013401

9.148459

59.3077

3.993511

标准差

0.000668

0.009417

0.024457

0.010423

0.013896

0.000176