ARIMA模型、GARCH模型、非對稱GARCH模型

（一）建立ARIMA模型

auto.arima(AA[,4])#識別最優階數
arima1<-arima(AA[,4],order=c(0,1,3),method="ML")
summary(arima1)

（二）建立GARCH模型

#GARCH模型
library(rugarch)
myspec=ugarchspec(variance.model=list(model="sGARCH",garchOrder=c(1,1),
submodel=NULL,external.regressors=NULL,variance.targeting=FALSE),
mean.model=list(armaOrder=c(1,1),include.mean=TRUE,archm=FALSE,archpow=1,
arfima=FALSE,external.regressors=NULL,archex=FALSE),
distribution.model="std")
garchfit=ugarchfit(myspec,data=SR_dayly,solver="solnp")
err=residuals(garchfit)
plot(residuals(garchfit),main="殘差圖")
plot(sigma(garchfit),main="波動率圖")

#ARCH效應檢驗
for(i in 1:10){
  print(ArchTest(err,lag=i))
}

 

 

 

 

（三）建立非對稱GARCH模型

myspec=ugarchspec(variance.model=list(model="eGARCH",garchOrder=c(1, 1)),mean.model=list(armaOrder=c(0,0),include.mean=TRUE),distribution.model="std") 
fit=ugarchfit(myspec,data=S1,solver="gosolnp")
summary(fit)
plot(fit,which=12)#信息沖擊曲線 
plot(fit)