5个变量的BEKK(1,1)模型的预测 [英] Forecasting of BEKK(1,1) model for 5 variables

问题描述

我已经估计了一个BEKK(1,1)模型，现在我想要该模型的预测值.以下是用于估计BEKK(1,1)模型的R代码.

I have estimated a BEKK(1,1) model and now I want to have forecast values of the model. Following are the R codes to estimate the BEKK(1,1) model.

> install.packages('MTS')
> install.packages('rmgarch')
> simulated <- simulateBEKK(2, 1000, c(1, 1))

##prepare the matrix:
> simulated <- do.call(cbind, simulated$eps)

##Estimate with default arguments:
> estimated <- BEKK(simulated)
> diagnoseBEKK(estimated)

推荐答案

数字

我认为您的代码缺少某些内容.在第2部分.这是我认为可以解决的方式:

I think your code is missing something. On part 2. Here is how I think it could be fixed:

results = data.frame('bekk.csd.variable1' = estimated$sd[[1]],
                 'bekk.csd.variable2' = estimated$sd[[2]],
                 'bekk.ccor.var1_var2' = estimated$cor[[1]][[2]])

希望这会有所帮助.

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