广义异方差模型例题(2)

9 9.61 9.7 9.94 9.94 9.94 9.95 9.94 9.96 9.97 10.83

10.75 11.2 11.4 11.54 11.5 11.34 11.5 11.5 11.58 12.42 12.85 13.1 13.12 13.1 13.15 13.1 13.2 14.2 14.75 14.6 14.6 14.45 14.5 14.8 15.85 16.2 16.5 16.4 16.4 16.35 16.1 13.7 13.5 14 12.3 12 14.35 14.6 12.5 12.75 13.7 13.45 13.55 12.6 12 11 11.6 12.05 12.35 12.7 12.45 12.55 12.2 12.1 11.15 11.85 12.1 12.5 12.9 12.5 13.2 13.65 13.65 13.5 13.45 13.35 14.45 14.3 15.05 15.55 15.65 14.65 14.15 13.3 12.65 12.7 12.8 14.5 15.1 15.15 14.3 14.25 14.05 14.7 15.05 14.05 13.8 13.25 13 12.85 12.6 11.8 13 12.35 11.45 11.35 11.55 10.85 10.9 12.3 11.7 12.05 12.3 12.9 13.05 13.3 13.85 14.65 15.05 15.15 14.85 15.7 15.4 15.1 14.8 15.8 15.8 15 14.4 13.8 14.3 14.15 14.45 14.1 14.05 13.75 13.3 13 12.55 12.25 11.85 11.5 11.1 11.15 10.7 10.25 10.55 10.25 10.3 9.6 8.4 8.2 7.25 8.35 8.25 8.3 7.4 7.15 6.35 5.65 7.4 7.2 7.05 7.1 6.85 6.5 6.25 5.95 5.65 5.85 5.45 5.3 5.2 5.55 5.15 5.4 5.35 5.1 5.8 6.35 6.5 6.95 8.05 7.85 7.75 8.6 ; run;

proc gplot data=hh; plot (x difx)*year; symbol i=line; run;

proc autoreg data=hh;

model x=lagx /lagdep=lagx archtest;

model x=lagx /nlag=4 backstep garch=(p=1,q=1) noint; output out=out p=p pm=pm r=r rm=rm ucl=ucl lcl=lcl cev=cev; run; data out; set out;

uclr=1.96*sqrt(0.26747); lclr=-1.96*sqrt(0.26747); cuclr=1.96*sqrt(cev); clclr=-1.96*sqrt(cev); cuclp=p+1.96*sqrt(cev); clclp=p-1.96*sqrt(cev); run;

proc gplot data=out;

plot x*year=1 p*year=2 cuclp*year=3 clclp*year=3 lcl*year=4 ucl*year=4/overlay;

symbol1 c=black i=none v=star; symbol2 c=red i=line v=none; symbol3 c=blue i=lnie;

symbol4 c=green i=join v=star;

run;

proc gplot data=out;

plot r*year=1 uclr*year=2 lclr*year=2 clclr*year=3 cuclr*year=3 /overlay; symbol1 c=black i=none v=star; symbol2 c=red i=line v=none; symbol3 c=blue i=lnie; run;

proc arima data=out; identify var=r nlag=24; run;

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