四，均值方程的确定及残差系列自相关检验 ls c2 c c2(-1) Variable Coefficient Std. Error t-Statistic Prob.  C 0.005056 1.583308 0.003193 0.9975 C2(-1) 0.138123 0.235657 0.586117 0.5696   ls c2 c c2(-2) Variable Coefficient Std. Error t-Statistic Prob.  C 0.101599 1.710089 0.059412 0.9538 C2(-2) -0.113372 0.247135 -0.458746 0.6562   ls c2 c c2(-3) Variable Coefficient Std. Error t-Statistic Prob.  C -0.370311 1.810253 -0.204563 0.8425 C2(-3) -0.100433 0.251182 -0.399841 0.6986   ls c2 c c2(-4) Variable Coefficient Std. Error t-Statistic Prob.  C 0.172654 1.527052 0.113064 0.9128 C2(-4) -0.504583 0.202425 -2.492697 0.0374   ls c2 c c2(-5) Variable Coefficient Std. Error t-Statistic Prob.  C 1.237494 0.758823 1.630806 0.1470 C2(-5) -0.100520 0.095914 -1.048030 0.3295   因此c2与它的四阶滞后存在显著的自相关，因此c2的均值方程存在如下形式： c2=c+ a* c2(-4) + e   对e进行自相关检验: ls c2 c c2(-4) genr e=resid()   e ac -0.006 -0.478 0.014 0.12 -0.09 0.185 0.091 -0.249 p值 0.984 0.181 0.331 0.446 0.563 0.553 0.628 0.344   E^2 ac -0.259 0.312 -0.18 0.217 -0.21 -0.09 -0.24 0.106 p值 0.345 0.309 0.406 0.427 0.431 0.527 0.39 0.428   line e*e 所以e^2有明显的时间可变性和集族性,适合用GARCH模型.   对e进行ARCH---LM Test有: 一阶: ARCH Test: F-statistic 2.055004     Probability 0.194823 Obs*R-squared 2.042521     Probability 0.152956 两阶: ARCH Test: F-statistic 2.203858     Probability 0.205928 Obs*R-squared 3.748171     Probability 0.153495 三阶: ARCH Test: F-statistic 0.244597     Probability 0.861148 Obs*R-squared 1.375688     Probability 0.711243 ARCH效应还算明显.

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