2013-07-18_GARCH_example

Values 5 nlikeli 7 order 9 series coef frequency

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Unformatted text preview: ) [1] "call" [3] "fitted.values" [5] "n.likeli" [7] "order" [9] "series" "coef" "frequency" "n.used" "residuals" "vcov" For example, estimated negative log-likelihood function > garch11$n.likeli [1] -7665.775 GARCH model for DAX time series GARCH(1,1) residuals diagnostics In order to obtain following plots, use > plot(garch11) or > plot(garch11$residuals) > hist(garch11$residuals, col="blue", br=100) > qqnorm(garch11$residuals) > qqline(garch11$residuals) > acf(garch11$residuals, na.action=na.pass) > acf(garch11$residualsˆ2, na.action=na.pass) GARCH model for DAX time series 0 −5 −10 garch11$residuals 5 Plot of standardized residuals 1992 1993 1994 1995 1996 1997 1998 Time GARCH model for DAX time series 150 100 50 0 Frequency 200 Histogram of standardized residuals −10 −5 0 garch11$residuals GARCH model for DAX time series 5 −5 0 q qq qq q q q qqq qqqq qqqq qqqq q qq qqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqqq qqqq qqqq qqqq qqqq qqqq qqqqq q qqqqq qqqqq qqqqq qqqqq qqqqq qqqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqqq qqq qqq qqq qqq qqq qqq qq qq qq qq qqq qqq qq qq qqq qqq qqq qqq qq qq qq −10 Sample Quantiles 5 Normal Q−Q Plot Normal Q-Q plot...
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