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 |