英国论文代写 TGARCH模型
另一方面,TGARCH的结果(1,1)模型的假定值(表11)表明,拱和东南亚的影响接近于零。这表明假定值是很重要的,因为假定值小于临界值,在95%置信区间。因此,我们应该拒绝零假设。然而,值得注意的是,阈值组件的模型已经显著表明,坏消息表明负面冲击效应的条件方差较大,好消息表示积极的冲击。然而,TGARCH模型的一个重要条件是,参数应该积极但结果表明,阈值组件是负面的。因此,这不是一个合适的模型。
On the other hand, the results for the TGARCH(1,1) model (table 11) shows that the p-value of the both the ARCH and GARCH effects is close to zero. This indicates the p-value is significant because the p-value has been less than the critical value at 95% confidence interval. Therefore, we should reject the null hypothesis. However, it should be noted that the threshold component in the model has been significant which indicates that the bad news indicating negative shocks effect the conditional variance in larger way that the good news indicating positive shocks. However, an important condition of TGARCH model is that parameters should be positive but the results show that the threshold component is negative. Thus, this is not a good fit model.
