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1、金融数据处理(波动溢出)由于Eviews在对波动溢出效应估计方面，只能得到对角矩阵。因此在用BEKK模型时，将使用S-Plus配合来估计波动溢出效应。实验步骤：第一步 检查平稳性第二步 协整检验第三步 Granger因果检验第四步 VAR第五步 VEC第六步 BEKK第一步 检查平稳性Null Hypothesis: RHIS has a unit rootExogenous: Constant, Linear TrendLag Length: 0 (Automatic based on SIC, MAXLAG=21)t-StatisticProb.*Augmented Dickey-Full
2、er test statistic-35.207310.0000Test critical values:1% level-3.9662335% level-3.41381510% level-3.128983*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(RHIS)Method: Least SquaresDate: 11/20/11 Time: 16:28Sample (adjusted): 1/06/2006 11/08/2010Included
3、 observations: 1124 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.RHIS(-1)-1.0502140.029829-35.207310.0000C0.0004970.0012360.4022690.6876TREND(1/04/2006)-6.72E-081.90E-06-0.0353410.9718R-squared0.525112Mean dependent var-1.09E-06Adjusted R-squared0.524264S.D. dependent var0.029972S.E
4、. of regression0.020673Akaike info criterion-4.917329Sum squared resid0.479076Schwarz criterion-4.903918Log likelihood2766.539Hannan-Quinn criter.-4.912261F-statistic619.7774Durbin-Watson stat1.999385Prob(F-statistic)0.000000可知，rhis系列没有单位根，即是平稳的。Null Hypothesis: RNQI has a unit rootExogenous: Consta
5、nt, Linear TrendLag Length: 0 (Automatic based on SIC, MAXLAG=21)t-StatisticProb.*Augmented Dickey-Fuller test statistic-36.799060.0000Test critical values:1% level-3.9662335% level-3.41381510% level-3.128983*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable
6、: D(RNQI)Method: Least SquaresDate: 11/20/11 Time: 16:27Sample (adjusted): 1/06/2006 11/08/2010Included observations: 1124 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.RNQI(-1)-1.0941330.029733-36.799060.0000C-0.0004430.001071-0.4133050.6795TREND(1/04/2006)1.00E-061.65E-060.6096650.
7、5422R-squared0.547102Mean dependent var-5.67E-06Adjusted R-squared0.546294S.D. dependent var0.026591S.E. of regression0.017911Akaike info criterion-5.204124Sum squared resid0.359626Schwarz criterion-5.190713Log likelihood2927.718Hannan-Quinn criter.-5.199056F-statistic677.0856Durbin-Watson stat2.010
8、733Prob(F-statistic)0.000000可见，rnqi是平稳的Null Hypothesis: RSSE has a unit rootExogenous: Constant, Linear TrendLag Length: 0 (Automatic based on SIC, MAXLAG=21)t-StatisticProb.*Augmented Dickey-Fuller test statistic-33.951420.0000Test critical values:1% level-3.9662335% level-3.41381510% level-3.12898
9、3*MacKinnon (1996) one-sided p-values.Augmented Dickey-Fuller Test EquationDependent Variable: D(RSSE)Method: Least SquaresDate: 11/20/11 Time: 16:29Sample (adjusted): 1/06/2006 11/08/2010Included observations: 1124 after adjustmentsVariableCoefficientStd. Errort-StatisticProb.RSSE(-1)-1.0139250.029
10、864-33.951420.0000C0.0026660.0012762.0890620.0369TREND(1/04/2006)-3.18E-061.96E-06-1.6203640.1054R-squared0.506971Mean dependent var-3.88E-06Adjusted R-squared0.506092S.D. dependent var0.030314S.E. of regression0.021304Akaike info criterion-4.857180Sum squared resid0.508777Schwarz criterion-4.843769
11、Log likelihood2732.735Hannan-Quinn criter.-4.852112F-statistic576.3509Durbin-Watson stat2.000314Prob(F-statistic)0.000000可见，rsse序列是平稳的。第二步 协整检验Date: 11/20/11 Time: 16:30Sample (adjusted): 1/12/2006 11/08/2010Included observations: 1120 after adjustmentsTrend assumption: Linear deterministic trendSer
12、ies: RHIS RNQI RSSELags interval (in first differences): 1 to 4Unrestricted Cointegration Rank Test (Trace)HypothesizedTrace0.05No. of CE(s)EigenvalueStatisticCritical ValueProb.*None *0.222478694.669929.797070.0001At most 1 *0.185719412.829015.494710.0001At most 2 *0.150534182.72473.8414660.0000Trace test indi
