金融数据处理波动溢出.docx
- 文档编号:23561499
- 上传时间:2023-05-18
- 格式:DOCX
- 页数:22
- 大小:133.43KB
金融数据处理波动溢出.docx
《金融数据处理波动溢出.docx》由会员分享,可在线阅读,更多相关《金融数据处理波动溢出.docx(22页珍藏版)》请在冰豆网上搜索。
金融数据处理波动溢出
金融数据处理(波动溢出)
由于Eviews在对波动溢出效应估计方面,只能得到对角矩阵。
因此在用BEKK模型时,将使用S-Plus配合来估计波动溢出效应。
实验步骤:
第一步检查平稳性
第二步协整检验
第三步Granger因果检验
第四步VAR
第五步VEC
第六步BEKK
第一步检查平稳性
NullHypothesis:
RHIShasaunitroot
Exogenous:
Constant,LinearTrend
LagLength:
0(AutomaticbasedonSIC,MAXLAG=21)
t-Statistic
Prob.*
AugmentedDickey-Fullerteststatistic
-35.20731
0.0000
Testcriticalvalues:
1%level
-3.966233
5%level
-3.413815
10%level
-3.128983
*MacKinnon(1996)one-sidedp-values.
AugmentedDickey-FullerTestEquation
DependentVariable:
D(RHIS)
Method:
LeastSquares
Date:
11/20/11Time:
16:
28
Sample(adjusted):
1/06/200611/08/2010
Includedobservations:
1124afteradjustments
Variable
Coefficient
Std.Error
t-Statistic
Prob.
RHIS(-1)
-1.050214
0.029829
-35.20731
0.0000
C
0.000497
0.001236
0.402269
0.6876
@TREND(1/04/2006)
-6.72E-08
1.90E-06
-0.035341
0.9718
R-squared
0.525112
Meandependentvar
-1.09E-06
AdjustedR-squared
0.524264
S.D.dependentvar
0.029972
S.E.ofregression
0.020673
Akaikeinfocriterion
-4.917329
Sumsquaredresid
0.479076
Schwarzcriterion
-4.903918
Loglikelihood
2766.539
Hannan-Quinncriter.
-4.912261
F-statistic
619.7774
Durbin-Watsonstat
1.999385
Prob(F-statistic)
0.000000
可知,rhis系列没有单位根,即是平稳的。
NullHypothesis:
RNQIhasaunitroot
Exogenous:
Constant,LinearTrend
LagLength:
0(AutomaticbasedonSIC,MAXLAG=21)
t-Statistic
Prob.*
AugmentedDickey-Fullerteststatistic
-36.79906
0.0000
Testcriticalvalues:
1%level
-3.966233
5%level
-3.413815
10%level
-3.128983
*MacKinnon(1996)one-sidedp-values.
AugmentedDickey-FullerTestEquation
DependentVariable:
D(RNQI)
Method:
LeastSquares
Date:
11/20/11Time:
16:
27
Sample(adjusted):
1/06/200611/08/2010
Includedobservations:
1124afteradjustments
Variable
Coefficient
Std.Error
t-Statistic
Prob.
RNQI(-1)
-1.094133
0.029733
-36.79906
0.0000
C
-0.000443
0.001071
-0.413305
0.6795
@TREND(1/04/2006)
1.00E-06
1.65E-06
0.609665
0.5422
R-squared
0.547102
Meandependentvar
-5.67E-06
AdjustedR-squared
0.546294
S.D.dependentvar
0.026591
S.E.ofregression
0.017911
Akaikeinfocriterion
-5.204124
Sumsquaredresid
0.359626
Schwarzcriterion
-5.190713
Loglikelihood
2927.718
Hannan-Quinncriter.
-5.199056
F-statistic
677.0856
Durbin-Watsonstat
2.010733
Prob(F-statistic)
0.000000
可见,rnqi是平稳的
NullHypothesis:
RSSEhasaunitroot
Exogenous:
Constant,LinearTrend
LagLength:
0(AutomaticbasedonSIC,MAXLAG=21)
t-Statistic
Prob.*
AugmentedDickey-Fullerteststatistic
-33.95142
0.0000
Testcriticalvalues:
1%level
-3.966233
5%level
-3.413815
10%level
-3.128983
*MacKinnon(1996)one-sidedp-values.
AugmentedDickey-FullerTestEquation
DependentVariable:
D(RSSE)
Method:
LeastSquares
Date:
11/20/11Time:
16:
29
Sample(adjusted):
1/06/200611/08/2010
Includedobservations:
1124afteradjustments
Variable
Coefficient
Std.Error
t-Statistic
Prob.
RSSE(-1)
-1.013925
0.029864
-33.95142
0.0000
C
0.002666
0.001276
2.089062
0.0369
@TREND(1/04/2006)
-3.18E-06
1.96E-06
-1.620364
0.1054
R-squared
0.506971
Meandependentvar
-3.88E-06
AdjustedR-squared
0.506092
S.D.dependentvar
0.030314
S.E.ofregression
0.021304
Akaikeinfocriterion
-4.857180
Sumsquaredresid
0.508777
Schwarzcriterion
-4.843769
Loglikelihood
2732.735
Hannan-Quinncriter.
-4.852112
F-statistic
576.3509
Durbin-Watsonstat
2.000314
Prob(F-statistic)
0.000000
可见,rsse序列是平稳的。
第二步协整检验
Date:
11/20/11Time:
16:
30
Sample(adjusted):
1/12/200611/08/2010
Includedobservations:
1120afteradjustments
Trendassumption:
Lineardeterministictrend
Series:
RHISRNQIRSSE
Lagsinterval(infirstdifferences):
1to4
UnrestrictedCointegrationRankTest(Trace)
Hypothesized
Trace
0.05
No.ofCE(s)
Eigenvalue
Statistic
CriticalValue
Prob.**
None*
0.222478
694.6699
29.79707
0.0001
Atmost1*
0.185719
412.8290
15.49471
0.0001
Atmost2*
0.150534
182.7247
3.841466
0.0000
Tracetestindicates3cointegratingeqn(s)atthe0.05level
*denotesrejectionofthehypothesisatthe0.05level
**MacKinnon-Haug-Michelis(1999)p-values
UnrestrictedCointegrationRankTest(MaximumEigenvalue)
Hypothesized
Max-Eigen
0.05
No.ofCE(s)
Eigenvalue
Statistic
CriticalValue
Prob.**
None*
0.222478
281.8409
21.13162
0.0001
Atmost1*
0.185719
230.1043
14.26460
0.0001
Atmost2*
0.150534
182.7247
3.841466
0.0000
Max-eigenvaluetestindicates3cointegratingeqn(s)atthe0.05level
*denotesrejectionofthehypothesisatthe0.05level
**MacKinnon-Haug-Michelis(1999)p-values
UnrestrictedCointegratingCoefficients(normalizedbyb'*S11*b=I):
RHIS
RNQI
RSSE
147.6973
-189.3795
-40.10637
93.00837
39.50010
-2.556401
-15.00984
-48.00880
108.6994
UnrestrictedAdjustmentCoefficients(alpha):
D(RHIS)
-0.004785
-0.006733
-0.003038
D(RNQI)
0.005305
-0.006969
0.000477
D(RSSE)
0.001030
-0.001374
-0.008635
1CointegratingEquation(s):
Loglikelihood
8569.234
Normalizedcointegratingcoefficients(standarderrorinparentheses)
RHIS
RNQI
RSSE
1.000000
-1.282214
-0.271544
(0.05596)
(0.04073)
Adjustmentcoefficients(standarderrorinparentheses)
D(RHIS)
-0.706744
(0.08719)
D(RNQI)
0.783598
(0.08442)
D(RSSE)
0.152080
(0.10022)
2CointegratingEquation(s):
Loglikelihood
8684.286
Normalizedcointegratingcoefficients(standarderrorinparentheses)
RHIS
RNQI
RSSE
1.000000
0.000000
-0.088210
(0.05379)
0.000000
1.000000
0.142983
(0.04732)
Adjustmentcoefficients(standarderrorinparentheses)
D(RHIS)
-1.333003
0.640229
(0.09679)
(0.10728)
D(RNQI)
0.135458
-1.280001
(0.09282)
(0.10288)
D(RSSE)
0.024311
-0.249262
(0.11822)
(0.13103)
由于prob很小,说明rhis,rnqi,rsse是协整的,具有长期的均衡关系。
第三步Granger因果检验
PairwiseGrangerCausalityTests
Date:
11/20/11Time:
16:
33
Sample:
1/04/200611/08/2010
Lags:
5
NullHypothesis:
Obs
F-Statistic
Prob.
RNQIdoesnotGrangerCauseRHIS
1120
62.7439
1.E-57
RHISdoesnotGrangerCauseRNQI
0.53595
0.7492
RSSEdoesnotGrangerCauseRHIS
1120
2.99994
0.0107
RHISdoesnotGrangerCauseRSSE
1.43282
0.2097
RSSEdoesnotGrangerCauseRNQI
1120
2.34345
0.0396
RNQIdoesnotGrangerCauseRSSE
8.42451
8.E-08
可知,RNQI是RHIS的Granger原因,RHIS不是RNQI的Granger原因;
RSSE是RHIS的Granger原因,RHIS不是RSSE的Granger原因;
RSSE是RNQI的Granger原因,RNQI是RSSE的Granger原因。
第四步VAR
VectorAutoregressionEstimates
Date:
11/20/11Time:
16:
38
Sample(adjusted):
1/09/200611/08/2010
Includedobservations:
1123afteradjustments
Standarderrorsin()&t-statisticsin[]
RHIS
RNQI
RSSE
RHIS(-1)
-0.211452
0.002593
-0.028258
(0.03487)
(0.03401)
(0.03993)
[-6.06457]
[0.07622]
[-0.70777]
RHIS(-2)
-0.014701
0.048541
-0.011387
(0.03124)
(0.03047)
(0.03577)
[-0.47064]
[1.59292]
[-0.31836]
RNQI(-1)
0.558608
-0.101199
0.228046
(0.03247)
(0.03167)
(0.03718)
[17.2061]
[-3.19530]
[6.13428]
RNQI(-2)
0.179709
-0.075244
0.050368
(0.03608)
(0.03520)
(0.04131)
[4.98108]
[-2.13787]
[1.21919]
RSSE(-1)
-0.060039
0.021830
-0.020169
(0.02919)
(0.02847)
(0.03342)
[-2.05708]
[0.76670]
[-0.60348]
RSSE(-2)
-0.009692
-0.020194
-0.011206
(0.02920)
(0.02848)
(0.03344)
[-0.33192]
[-0.70892]
[-0.33515]
C
0.000508
9.74E-05
0.000868
(0.00055)
(0.00053)
(0.00063)
[0.92586]
[0.18206]
[1.38193]
R-squared
0.218183
0.014994
0.034557
Adj.R-squared
0.213980
0.009698
0.029366
Sumsq.resids
0.375482
0.357331
0.492331
S.E.equation
0.018343
0.017894
0.021004
F-statistic
51.90745
2.831381
6.657596
Loglikelihood
2900.387
2928.208
2748.254
AkaikeAIC
-5.152960
-5.202508
-4.882019
SchwarzSC
-5.121645
-5.171194
-4.850704
Meandependent
0.000433
0.000100
0.000855
S.D.dependent
0.020689
0.017981
0.021319
Determinantresidcovariance(dofadj.)
3.36E-11
Determinantresidcovariance
3.30E-11
Loglikelihood
8771.514
Akaikeinformationcriterion
-15.58417
Schwarzcriterion
-15.49023
第五步VEC
VectorErrorCorrectionEstimates
Date:
11/20/11Time:
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- 金融 数据处理 波动 溢出