Garch.zip_EGARCH模型R语言_GARCH模型_R语言GARCH_gardenwn8_时间序列模型Garch建模的R

Tgarch11 = function(x,cond.dist="norm") { # Estimation of TGARCH(1,1) model with Gaussian or Student-t innovations # Step 1: Initialize Time Series Globally: Tx <<- x # Step 2: Initialize Model Parameters and Bounds: Meanx = mean(Tx); Varx = var(Tx); S = 1e-6 if(cond.dist=="std"){ params = c(mu = Meanx, omega = 0.1*Varx, alpha = 0.1, gam1= 0.02, beta = 0.81, shape=6) lowerBounds = c(mu = -10*abs(Meanx), omega = S^2, alpha = S, gam1=S, beta = S, shape=3) upperBounds = c(mu = 10*abs(Meanx), omega = 100*Varx, alpha = 1-S, gam1 = 1-S, beta = 1-S, shape=30) } else{ params = c(mu = Meanx, omega = 0.1*Varx, alpha = 0.1, gam1= 0.02, beta = 0.81) lowerBounds = c(mu = -10*abs(Meanx), omega = S^2, alpha = S, gam1=S, beta = S) upperBounds = c(mu = 10*abs(Meanx), omega = 10*Varx, alpha = 1-S, gam1 = 1-S, beta = 1-S) } # Step 3: Set Conditional Distribution Function: garchDist = function(z, hh, cond.dist, nu1) { if(cond.dist=="std"){LL=dstd(x = z/hh, nu=nu1)/hh} else{ LL=dnorm(x = z/hh)/hh } LL } # Step 4: Compose log-Likelihood Function: garchLLH = function(parm) { mu = parm[1]; omega = parm[2]; alpha = parm[3]; gam1=parm[4]; beta = parm[5] shape = 0; if(length(parm)==6){ shape=parm[6] cond.dist="std" } else {cond.dist="norm"} z = (Tx-mu); Mean = mean(z^2) zm1=c(0,z[-length(z)]) idx=seq(zm1)[zm1 < 0]; z1=rep(0,length(z)); z1[idx]=1 # Use Filter Representation: e = omega + alpha * c(Mean, z[-length(z)]^2) + gam1*z1*c(Mean,z[-length(z)]^2) h = filter(e, beta, "r", init = Mean) hh = sqrt(abs(h)) llh = -sum(log(garchDist(z, hh, cond.dist, shape))) llh } # Step 5: Estimate Parameters and Compute Numerically Hessian: fit = nlminb(start = params, objective = garchLLH, lower = lowerBounds, upper = upperBounds) ### control = list(trace=3)) epsilon = 0.0001 * fit$par npar=length(params) Hessian = matrix(0, ncol = npar, nrow = npar) for (i in 1:npar) { for (j in 1:npar) { x1 = x2 = x3 = x4 = fit$par x1[i] = x1[i] + epsilon[i]; x1[j] = x1[j] + epsilon[j] x2[i] = x2[i] + epsilon[i]; x2[j] = x2[j] - epsilon[j] x3[i] = x3[i] - epsilon[i]; x3[j] = x3[j] + epsilon[j] x4[i] = x4[i] - epsilon[i]; x4[j] = x4[j] - epsilon[j] Hessian[i, j] = (garchLLH(x1)-garchLLH(x2)-garchLLH(x3)+garchLLH(x4))/ (4*epsilon[i]*epsilon[j]) } } cat("Log likelihood at MLEs: ","\n") print(-garchLLH(fit$par)) # Step 6: Create and Print Summary Report: se.coef = sqrt(diag(solve(Hessian))) tval = fit$par/se.coef matcoef = cbind(fit$par, se.coef, tval, 2*(1-pnorm(abs(tval)))) dimnames(matcoef) = list(names(tval), c(" Estimate", " Std. Error", " t value", "Pr(>|t|)")) cat("\nCoefficient(s):\n") printCoefmat(matcoef, digits = 6, signif.stars = TRUE) # compute output est=fit$par mu = est[1]; omega = est[2]; alpha = est[3]; gam1=est[4]; beta = est[5] z=(Tx-mu); Mean = mean(z^2) zm1=c(0,z[-length(z)]) idx=seq(zm1)[zm1 < 0]; z1=rep(0,length(z)); z1[idx]=1 e = omega + alpha * c(Mean, z[-length(z)]^2) + gam1*z1*c(Mean,z[-length(z)]^2) h = filter(e, beta, "r", init = Mean) sigma.t = sqrt(abs(h)) Tgarch11 <- list(residuals = z, volatility = sigma.t, par=est) }