B.上海证券综合指数收益率TGARCH模型估计 Dependent Variable:SHANGHAIRETURN Method:ML-ARCH (Marquardt)-Normal distribution Included observations:2611 after adjustments Convergence achieved after 12 iterations Presample variance:backcast (parameter=0.7) GARCH=C(3)+C(4)*RESID(-1)2+C(5)*RESID(-1)2*(RESID(-1)<0)+ C(6)*GARCH(-1) Variable Coefficient Std.Error Z-Statistic Prob. C 0.000 0.000 0.987 0.324 SHANGHAIRETURN(-1) 0.027 0.020 1.353 0.176 Variance Equation C 0.000 0.000 6.512 0.000 RESID(-1)2 0.058 0.008 7.511 0.000 RESID(-1)2*(RESID(- 1)<0) 0.057 0.010 5.563 0.000 GARCH(-1) 0.904 0.007 135.9 0.000 R-squared -0.000 Mean dependent var 0.000 Adjusted R-squared -0.000 S.D.dependent var 0.017 S.E.ofregression 0.017 Akaike info criterion -5.526 Sum squared resid 0.766 Schwarz criterion -5.512 Log likelihood 7219.5 Hea如-Quinn criter. -5.521 Durbin-Watson stat 2.024