R语言求ARCH类模型的程序

以下是使用R语言求解ARCH类模型的程序： ### 加载所需的包 library(tseries) library(rugarch) ### 读取数据 data <- read.csv("data.csv", header = TRUE) ### 将数据转换为时间序列对象 ts_data <- ts(data$returns, start = c(2000, 1), frequency = 12) ### 建立ARCH模型 arch_spec <- ugarchspec(variance.model = list(model = "ARCH", archOrder = 1), mean.model = list(armaOrder = c(0, 0))) arch_fit <- ugarchfit(spec = arch_spec, data = ts_data) summary(arch_fit) ### 建立GARCH模型 garch_spec <- ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1)), mean.model = list(armaOrder = c(0, 0))) garch_fit <- ugarchfit(spec = garch_spec, data = ts_data) summary(garch_fit) ### 建立TARCH模型 tarch_spec <- ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1)), mean.model = list(armaOrder = c(0, 0)), distribution.model = "std") tarch_fit <- ugarchfit(spec = tarch_spec, data = ts_data) summary(tarch_fit) ### 建立EGARCH模型 egarch_spec <- ugarchspec(variance.model = list(model = "eGARCH", garchOrder = c(1, 1)), mean.model = list(armaOrder = c(0, 0)), distribution.model = "std") egarch_fit <- ugarchfit(spec = egarch_spec, data = ts_data) summary(egarch_fit) ### 建立TGARCH模型 tgarch_spec <- ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1)), mean.model = list(armaOrder = c(0, 0)), distribution.model = "std", fixed.pars = list(tau1 = 0.1, tau2 = -0.1)) tgarch_fit <- ugarchfit(spec = tgarch_spec, data = ts_data)