<![CDATA[INTECOSYS]]> http://ww-symedia.blog.163.com zh-CN Fri, 11 Jul 2008 11:05:36 +0800 Fri, 11 Jul 2008 11:05:36 +0800 http://blogs.law.harvard.edu/tech/rss 120 <![CDATA[INTECOSYS]]> http://ava.blog.163.com/photo/p6m58TswYLgnrFLGNaOgzQ==/179018085188437691.jpg http://ww-symedia.blog.163.com <![CDATA[szzs dately data]]> http://ww-symedia.blog.163.com/blog/static/24936153200861111448813

 

GMM Method:
Estimation Command:
=====================
GMM CLOSE C MIN MAX OPEN VLOMON @ CLOSE C MIN MAX OPEN VLOMON

Estimation Equation:
=====================
CLOSE = C(1) + C(2)*MIN + C(3)*MAX + C(4)*OPEN + C(5)*VLOMON

Substituted Coefficients:
=====================
CLOSE = -1.951439459 + 1.28737466*MIN + 0.7624019804*MAX - 1.042964372*OPEN + 1.601626193e-007*VLOMON

Dependent Variable: CLOSE
Method: Generalized Method of Moments
Date: 07/11/08   Time: 09:30
Sample: 12/19/1990 7/10/2008
Included observations: 4307
Kernel: Bartlett,  Bandwidth: Fixed (9),  No prewhitening
Simultaneous weighting matrix & coefficient iteration
Convergence achieved after: 6 weight matrices, 7 total coef iterations
Instrument list: CLOSE C MIN MAX OPEN VLOMON

 

Variable Coefficient Std. Error t-Statistic Prob.  
C -1.951439 0.835114 -2.336734 0.0195
MIN 1.287375 0.036154 35.60815 0
MAX 0.762402 0.038897 19.60068 0
OPEN -1.042964 0.041998 -24.83385 0
VLOMON 0.00000016 2.94E-08 5.450165 0

 

R-squared 0.999525 Mean dependent var 1419.405
Adjusted R-squared 0.999524 S.D. dependent var 994.5979
S.E. of regression 21.69441 Sum squared resid 2024725
Durbin-Watson stat 1.891345 J-statistic 0.001495

 

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ARCH Method:    
Estimation Command:    
=====================    
ARCH(2,2,ASY=1,DERIV=AA) CLOSE C MIN MAX OPEN @ C MIN MAX OPEN VLOMON    

Estimation Equation:    
=====================    
CLOSE = C(1) + C(2)*MIN + C(3)*MAX + C(4)*OPEN    

GARCH = C(5) + C(6)*RESID(-1)^2 + C(7)*RESID(-2)^2 + C(8)*GARCH(-1) + C(9)*GARCH(-2) + C(10)*MIN + C(11)*MAX + C(12)*OPEN + C(13)*VLOMON    

Substituted Coefficients:    
=====================    
CLOSE = -1.101318231 + 0.6875947256*MIN + 0.9459064864*MAX - 0.6340107603*OPEN    

GARCH = 237.1505196 + 0.5047268197*RESID(-1)^2 + 0.335580916*RESID(-2)^2 - 0.4070237888*GARCH(-1) + 0.1788662562*GARCH(-2) - 0.6408502464*MIN + 0.376110114*MAX + 0.1286074233*OPEN + 7.43035197e-006*VLOMON    

Dependent Variable: CLOSE 
Method: ML - ARCH (Marquardt) - Normal distribution 
Date: 07/11/08  Time: 09:46 
Sample: 12/19/1990 7/10/2008 
Included observations: 4307 
Convergence achieved after 12 iterations 
Variance backcast: ON 
GARCH = C(5) + C(6)*RESID(-1)^2 + C(7)*RESID(-2)^2 + C(8) 
    *GARCH(-1) + C(9)*GARCH(-2) + C(10)*MIN + C(11)*MAX + 
    C(12)*OPEN + C(13)*VLOMON 

 

　 Coefficient Std. Error z-Statistic Prob.  
C -1.101318 0.379351 -2.903163 0.0037
MIN 0.687595 0.005603 122.7115 0
MAX 0.945906 0.008467 111.723 0
OPEN -0.634011 0.011214 -56.53693 0

 

Variance Equation
C 237.1505 9.038756 26.23708 0
RESID(-1)^2 0.504727 0.038013 13.2779 0
RESID(-2)^2 0.335581 0.035599 9.426723 0
GARCH(-1) -0.407024 0.051857 -7.848895 0
GARCH(-2) 0.178866 0.020305 8.808799 0
MIN -0.64085 0.007981 -80.29931 0
MAX 0.37611 0.046671 8.058786 0
OPEN 0.128607 0.03807 3.378218 0.0007
VLOMON 7.43E-06 4.25E-07 17.48312 0

 

R-squared 0.999759 Meandependentvar 1419.405
AdjustedR-squared 0.999759 S.D.dependentvar 994.5979
S.E.ofregression 15.45024 Akaikeinfocriterion 7.655574
Sumsquaredresid 1025021 Schwarzcriterion 7.674795
Loglikelihood -16473.28 F-statistic 1486664
Durbin-Watsonstat 2.156124 Prob(F-statistic) 0

 

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]]> http://ww-symedia.blog.163.com/blog/static/24936153200861111448813 0 http://ww-symedia.blog.163.com/blog/static/24936153200861111448813 Fri, 11 Jul 2008 11:04:48 +0800 2008-07-11T11:04:48+08:00 <![CDATA[2008年7月5日]]> http://ww-symedia.blog.163.com/blog/static/2493615320086514748546
GARCH = C(7) + C(8)*RESID(-1)^2 + C(9)*RESID(-2)^2 + C(10)
        *RESID(-3)^2 + C(11)*GARCH(-1) + C(12)*GARCH(-2) + C(13)
        *CLOSE + C(14)*MAX + C(15)*MIN + C(16)*OPEN + C(17)
        *VLOMON + C(18)*VLOUME
Coefficient Std. Error z-Statistic Prob.  
C -0.01779 0.061078 -0.29127 0.7708
MAX 0.750229 0.040718 18.42509 0
MIN 0.687978 0.025099 27.41035 0
OPEN -0.438557 0.033229 -13.198 0
VLOMON -1.20E-05 5.09E-06 -2.351677 0.0187
VLOUME 1.33E-07 5.41E-07 0.245866 0.8058
Variance Equation
C 0.217973 0.035562 6.129353 0
RESID(-1)^2 0.140564 0.057924 2.426671 0.0152
RESID(-2)^2 0.07128 0.066388 1.073683 0.283
RESID(-3)^2 0.102107 0.057635 1.771631 0.0765
GARCH(-1) 0.310138 0.156197 1.985552 0.0471
GARCH(-2) -0.062371 0.096943 -0.643372 0.52
CLOSE 0.003198 0.032343 0.098882 0.9212
MAX 0.054172 0.029992 1.80621 0.0709
MIN -0.066805 0.025044 -2.667477 0.0076
OPEN -0.002945 0.024213 -0.12164 0.9032
VLOMON 6.86E-06 2.59E-06 2.651678 0.008
VLOUME -1.01E-06 1.85E-07 -5.481247 0
R-squared 0.997282     Mean dependent var 　 12.44987
Adjusted R-squared 0.99722     S.D. dependent var 　 12.32707
S.E. of regression 0.650003     Akaike info criterion 　 1.053396
Sum squared resid 313.9202     Schwarz criterion 　 1.16302
Log likelihood -382.8173     F-statistic 　 16035.11
Durbin-Watson stat 1.798661     Prob(F-statistic) 　 0
Estimation Command:
=====================
ARCH(3,2,ASY=1,DERIV=AA) CLOSE C MAX MIN OPEN VLOMON VLOUME  @ CLOSE C MAX MIN OPEN VLOMON VLOUME 
Estimation Equation:
=====================
CLOSE = C(1) + C(2)*MAX + C(3)*MIN + C(4)*OPEN + C(5)*VLOMON + C(6)*VLOUME
GARCH = C(7) + C(8)*RESID(-1)^2 + C(9)*RESID(-2)^2 + C(10)*RESID(-3)^2 + C(11)*GARCH(-1) + C(12)*GARCH(-2) + C(13)*CLOSE + C(14)*MAX + C(15)*MIN + C(16)*OPEN + C(17)*VLOMON + C(18)*VLOUME
Substituted Coefficients:
=====================
CLOSE = -0.01779029653 + 0.7502289727*MAX + 0.6879779982*MIN - 0.4385569705*OPEN - 1.196161755e-005*VLOMON + 1.329943799e-007*VLOUME
GARCH = 0.2179732268 + 0.1405636866*RESID(-1)^2 + 0.07128009339*RESID(-2)^2 + 0.1021074713*RESID(-3)^2 + 0.31013797*GARCH(-1) - 0.06237059846*GARCH(-2) + 0.003198135427*CLOSE + 0.05417238502*MAX - 0.06680496788*MIN - 0.002945328745*OPEN + 6.857393109e-006*VLOMON - 1.013044097e-006*VLOUME
Estimation Command:
=====================
ARCH(3,2,ASY=1,DERIV=AA) CLOSE C MAX MIN OPEN VLOMON VLOUME  @ CLOSE C MAX MIN OPEN VLOMON VLOUME 
Estimation Equation:
=====================
CLOSE = C(1) + C(2)*MAX + C(3)*MIN + C(4)*OPEN + C(5)*VLOMON + C(6)*VLOUME
GARCH = C(7) + C(8)*RESID(-1)^2 + C(9)*RESID(-2)^2 + C(10)*RESID(-3)^2 + C(11)*GARCH(-1) + C(12)*GARCH(-2) + C(13)*CLOSE + C(14)*MAX + C(15)*MIN + C(16)*OPEN + C(17)*VLOMON + C(18)*VLOUME
Substituted Coefficients:
=====================
CLOSE = -0.01779029653 + 0.7502289727*MAX + 0.6879779982*MIN - 0.4385569705*OPEN - 1.196161755e-005*VLOMON + 1.329943799e-007*VLOUME
GARCH = 0.2179732268 + 0.1405636866*RESID(-1)^2 + 0.07128009339*RESID(-2)^2 + 0.1021074713*RESID(-3)^2 + 0.31013797*GARCH(-1) - 0.06237059846*GARCH(-2) + 0.003198135427*CLOSE + 0.05417238502*MAX - 0.06680496788*MIN - 0.002945328745*OPEN + 6.857393109e-006*VLOMON - 1.013044097e-006*VLOUME
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