如何用r语言对rugarch拟合好的模型做诊断

Python09

如何用r语言对rugarch拟合好的模型做诊断,第1张

完成一个sgarch(1,1)-norm模型的模型设定。

myspec=ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1), submodel = NULL, external.regressors = NULL, variance.targeting = FALSE), mean.model = list(armaOrder = c(1, 1), include.mean = TRUE, archm = FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALSE), distribution.model = "norm")