VAR-DCC-GJR-GARCH
Khánh An
2024-08-02
1. KHAI BÁO THƯ VIỆN VÀ NHẬP DATA
2. Ma trận tương quan
## VNI XAU WTI BTC
## VNI 1.00000000 -0.04520577 0.08200762 0.06780672
## XAU -0.04520577 1.00000000 0.07857211 0.11917449
## WTI 0.08200762 0.07857211 1.00000000 0.09857017
## BTC 0.06780672 0.11917449 0.09857017 1.000000003. DCC-GARCH
##
## *---------------------------------*
## * DCC GARCH Fit *
## *---------------------------------*
##
## Distribution : mvnorm
## Model : DCC(1,1)
## No. Parameters : 19
## [VAR GARCH DCC UncQ] : [0+16+2+1]
## No. Series : 2
## No. Obs. : 1592
## Log-Likelihood : -4443.276
## Av.Log-Likelihood : -2.79
##
## Optimal Parameters
## -----------------------------------
## Estimate Std. Error t value Pr(>|t|)
## [VNI].mu -0.029235 0.008187 -3.57079 0.000356
## [VNI].ar1 0.862883 0.023624 36.52614 0.000000
## [VNI].ma1 -0.784812 0.019935 -39.36813 0.000000
## [VNI].omega 0.082946 0.031757 2.61192 0.009003
## [VNI].alpha1 0.117529 0.025607 4.58975 0.000004
## [VNI].beta1 0.849808 0.036057 23.56816 0.000000
## [VNI].gamma1 0.861109 0.217430 3.96041 0.000075
## [VNI].delta 0.907238 0.248602 3.64935 0.000263
## [XAU].mu 0.029948 0.019951 1.50107 0.133337
## [XAU].ar1 -0.244810 0.013107 -18.67790 0.000000
## [XAU].ma1 0.250975 0.013413 18.71153 0.000000
## [XAU].omega 0.027293 0.010390 2.62678 0.008620
## [XAU].alpha1 0.076759 0.019544 3.92747 0.000086
## [XAU].beta1 0.910020 0.026382 34.49366 0.000000
## [XAU].gamma1 -0.349946 0.174257 -2.00822 0.044620
## [XAU].delta 1.133897 0.625868 1.81172 0.070030
## [Joint]dcca1 0.000575 0.005205 0.11045 0.912053
## [Joint]dccb1 0.976755 0.013612 71.75473 0.000000
##
## Information Criteria
## ---------------------
##
## Akaike 5.6059
## Bayes 5.6700
## Shibata 5.6056
## Hannan-Quinn 5.6297
##
##
## Elapsed time : 5.015832##
## *---------------------------------*
## * DCC GARCH Fit *
## *---------------------------------*
##
## Distribution : mvnorm
## Model : DCC(1,1)
## No. Parameters : 19
## [VAR GARCH DCC UncQ] : [0+16+2+1]
## No. Series : 2
## No. Obs. : 1592
## Log-Likelihood : -6151.575
## Av.Log-Likelihood : -3.86
##
## Optimal Parameters
## -----------------------------------
## Estimate Std. Error t value Pr(>|t|)
## [VNI].mu -0.029235 0.008212 -3.55991 0.000371
## [VNI].ar1 0.862883 0.023622 36.52863 0.000000
## [VNI].ma1 -0.784812 0.019920 -39.39747 0.000000
## [VNI].omega 0.082946 0.031629 2.62249 0.008729
## [VNI].alpha1 0.117529 0.025581 4.59430 0.000004
## [VNI].beta1 0.849808 0.035948 23.63987 0.000000
## [VNI].gamma1 0.861109 0.217417 3.96063 0.000075
## [VNI].delta 0.907238 0.247153 3.67076 0.000242
## [WTI].mu 0.102979 0.010998 9.36328 0.000000
## [WTI].ar1 -0.378540 0.014198 -26.66209 0.000000
## [WTI].ma1 0.468595 0.008841 53.00498 0.000000
## [WTI].omega 0.078339 0.045576 1.71886 0.085641
## [WTI].alpha1 0.184028 0.051768 3.55487 0.000378
## [WTI].beta1 0.835789 0.032172 25.97898 0.000000
## [WTI].gamma1 0.103188 0.220719 0.46751 0.640136
## [WTI].delta 0.842978 0.271769 3.10181 0.001923
## [Joint]dcca1 0.007734 0.006512 1.18780 0.234912
## [Joint]dccb1 0.964773 0.011993 80.44278 0.000000
##
## Information Criteria
## ---------------------
##
## Akaike 7.7520
## Bayes 7.8161
## Shibata 7.7517
## Hannan-Quinn 7.7758
##
##
## Elapsed time : 3.744642##
## *---------------------------------*
## * DCC GARCH Fit *
## *---------------------------------*
##
## Distribution : mvnorm
## Model : DCC(1,1)
## No. Parameters : 19
## [VAR GARCH DCC UncQ] : [0+16+2+1]
## No. Series : 2
## No. Obs. : 1592
## Log-Likelihood : -7025.482
## Av.Log-Likelihood : -4.41
##
## Optimal Parameters
## -----------------------------------
## Estimate Std. Error t value Pr(>|t|)
## [VNI].mu -0.029235 0.008199 -3.56588 0.000363
## [VNI].ar1 0.862883 0.023613 36.54275 0.000000
## [VNI].ma1 -0.784812 0.019962 -39.31436 0.000000
## [VNI].omega 0.082946 0.031709 2.61582 0.008901
## [VNI].alpha1 0.117529 0.025621 4.58720 0.000004
## [VNI].beta1 0.849808 0.036050 23.57303 0.000000
## [VNI].gamma1 0.861109 0.217620 3.95695 0.000076
## [VNI].delta 0.907238 0.249256 3.63979 0.000273
## [BTC].mu 0.107876 0.104022 1.03704 0.299716
## [BTC].ar1 -0.837271 0.347163 -2.41175 0.015876
## [BTC].ma1 0.825192 0.362456 2.27667 0.022806
## [BTC].omega 1.785628 3.509261 0.50883 0.610869
## [BTC].alpha1 0.076815 0.039194 1.95988 0.050009
## [BTC].beta1 0.837659 0.099965 8.37952 0.000000
## [BTC].gamma1 0.282698 0.114965 2.45900 0.013932
## [BTC].delta 2.091745 0.991539 2.10959 0.034893
## [Joint]dcca1 0.001155 0.009194 0.12564 0.900019
## [Joint]dccb1 0.792907 0.123513 6.41962 0.000000
##
## Information Criteria
## ---------------------
##
## Akaike 8.8499
## Bayes 8.9140
## Shibata 8.8496
## Hannan-Quinn 8.8737
##
##
## Elapsed time : 3.839576
