广义异方差模型例题

本文格式为Word版，下载可任意编辑——广义异方差模型例题广义异方差模型例题：例：1969年1月至1994年9月澳大利亚储存银行2年期有价证券月度利率数据如表所示（行数据）

4.9955.035.035.255.265.35.455.495.525.75.685.655.86.56.456.486.456.356.46.436.436.446.456.486.46.356.46.36.326.356.135.75.585.185.185.175.155.215.235.054.654.654.64.674.694.684.624.634.95.445.566.046.066.068.078.078.18.058.068.078.068.118.610.81111119.489.188.628.38.478.448.448.468.498.548.548.58.448.498.48.468.58.58.478.478.478.488.488.548.568.398.899.919.899.919.919.99.889.869.869.749.429.279.268.998.838.838.838.828.838.838.798.798.698.668.678.728.7799.619.79.949.949.949.959.949.969.9710.83

10.7511.211.411.5411.511.3411.511.511.5812.4212.85

13.113.1213.113.1513.113.214.214.7514.614.614.4514.514.815.8516.216.516.416.416.3516.113.713.51412.31214.3514.612.512.7513.713.4513.5512.6121111.612.0512.3512.712.4512.5512.212.111.1511.8512.112.512.912.513.213.6513.6513.513.4513.3514.4514.315.0515.5515.6514.6514.1513.312.6512.712.8

14.515.115.1514.314.2514.0514.715.0514.0513.813.25

1312.8512.611.81312.3511.4511.3511.5510.8510.912.311.712.0512.312.913.0513.313.8514.6515.0515.15

14.8515.715.415.114.815.815.81514.413.814.3

14.1514.4514.114.0513.7513.31312.5512.2511.8511.511.111.1510.710.2510.5510.2510.39.68.48.27.258.358.258.37.47.156.355.657.47.27.057.16.856.56.255.955.655.855.455.35.25.555.155.45.355.15.86.356.56.958.057.857.758.6（1）考察该序列的方差齐性。（2）选择适当的模型拟合该序列的发展解答：（1）1、时序图：

时序图显示序列存在曲线趋势，我们对原序列进行差分得到残差序列的图。

差分后的残差图整均值平稳，但伴随大小不等的随机波动。我们对残差序列进行自回归，再考察自回归残差序列的方差齐性。

2、用AUTOREG过程建立序列｛Xt｝关于一阶滞后项lagx的回归模型，并检验残差序列的自相关性和异方差性。

检验显示Dh统计量为1.8550,Dh统计量的P值为0.0318小于0.05,结果显示残差序列具有显著的自相关性。

显示回归模型常数截距项不显著（0.0736>0.05）。

显示残差序列具有显著的异方差性。3、arch的定阶

procautoregdata=hh;

modelx=lagx/lagdep=lagxarchtest;

modelx=lagx/nlag=4backstepgarch=(p=1,q=1);outputout=rescev=v;run;

参数检验显示除AR5参数不显著外，其它参数显著。

综合考虑残差序列自相关性和异方差性检验结果，尝试拟合无回归常数项的广义异方差模型，nlag=4，garch=(p=1,q=1)。4、异方差模型：

拟合效果很理想。

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附程序：

datahh;inputx@@;difx=dif(x);lagx=lag(x);

year=intnx(\,\,_n_-1);formatyearmonyy7.;cards;

4.9955.035.035.255.265.35.455.495.525.75.685.655.86.56.456.486.456.356.46.436.436.446.456.486.46.356.46.36.326.356.135.75.585.185.185.175.155.215.235.054.654.654.64.674.694.684.624.634.95.445.566.046.066.068.078.078.18.058.068.078.068.118.610.81111119.489.188.628.38.478.448.448.468.498.548.548.58.448.498.48.468.58.58.478.478.478.488.488.548.568.398.8