数据模型结果.xls

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1、daterate2010/6/21682.752010/6/22679.8Null Hypothesis:RMBE has a unit root2010/6/23681.02Exogenous:Constant2010/6/24681Lag Length:0(Automatic based on SIC,MAXLAG=18)2010/6/25678.962010/6/28678.9t-Statistic2010/6/29679.012010/6/30679.09Augmented Dickey-Fuller test statistic-2.596632010/7/1678.58Test c

2、ritical values:1%level-3.441842010/7/2677.25%level-2.86652010/7/5677.3310%level-2.569472010/7/6677.92010/7/7677.81*MacKinnon(1996)one-sided p-values.2010/7/8677.682010/7/9677.532010/7/12677.18Augmented Dickey-Fuller Test Equation2010/7/13678.02Dependent Variable:D(RMBE)2010/7/14677.55Method:Least Sq

3、uares2010/7/15677.41Date:09/04/12 Time:21:242010/7/16677.18Sample(adjusted):2002 25592010/7/19678Included observations:558 after adjustments2010/7/20678.122010/7/21678.02Variable CoefficientStd.Error t-Statistic2010/7/22678.592010/7/23677.9RMBE(-1)-0.00427 0.001643-2.596632010/7/26677.78C2.675384 1.

4、063989 2.5144852010/7/27677.422010/7/28677.85R-squared 0.011981 Mean dependent var2010/7/29677.87Adjusted R-squared0.010204 S.D.dependent var2010/7/30677.5S.E.of regression0.644714 Akaike info criterion2010/8/2677.42Sum squared resid231.1052 Schwarz criterion2010/8/3677.22Log likelihood-545.833 F-st

5、atistic2010/8/4677.15Durbin-Watson stat1.845478 Prob(F-statistic)2010/8/5677.832010/8/6677.32010/8/9676.852010/8/10677.452010/8/11677.682010/8/12680.152010/8/13680.35Dependent Variable:RMBE2010/8/16680.64Method:Least Squares2010/8/17679.79Date:09/04/12 Time:21:542010/8/18678.95Sample(adjusted):2002

6、25592010/8/19678.98Included observations:558 after adjustments2010/8/20678.842010/8/23679.89Variable CoefficientStd.Error t-Statistic2010/8/24679.992010/8/25680.07C2.675384 1.063989 2.5144852010/8/26680.41RMBE(-1)0.995734 0.001643606.1372010/8/27680.012010/8/30680.25R-squared 0.998489 Mean dependent

7、 var2010/8/31681.05Adjusted R-squared0.998486 S.D.dependent var2010/9/1681.26S.E.of regression0.644714 Akaike info criterion2010/9/2680.03Sum squared resid231.1052 Schwarz criterion2010/9/3679.73Log likelihood-545.833 F-statistic2010/9/6678.38Durbin-Watson stat1.845478 Prob(F-statistic)2010/9/7677.9

8、92010/9/8679.072010/9/9678.172010/9/10676.252010/9/13675.092010/9/14673.782010/9/15672.52010/9/16671.812010/9/17671.722010/9/20671.12010/9/21669.972010/9/27670.982010/9/28670.512010/9/29669.362010/9/30670.112010/10/8668.32010/10/11667.322010/10/12667.752010/10/13666.932010/10/14665.822010/10/15664.9

9、72010/10/18665.412010/10/19665.53Date:09/04/12 Time:21:232010/10/20667.54Sample:2002 25592010/10/21666.95Included observations:5582010/10/22667.592010/10/25667.29AutocorrelationPartial Correlation AC 2010/10/26667.622010/10/27669.12 .|.|.|.|10.0612010/10/28669.86 .|.|.|.|20.0152010/10/29669.08 .|.|.

10、|.|3-0.0092010/11/1668.86 .|.|.|.|4-0.0232010/11/2669.25 .|*|.|*|50.0672010/11/3668.18 .|.|.|.|60.0152010/11/4667.08 .|.|.|.|70.0242010/11/5666.1 *|.|*|.|8-0.0962010/11/8666.92 .|.|.|.|9-0.052010/11/9665.8 .|.|.|.|10-0.0042010/11/10664.5 *|.|*|.|11-0.0712010/11/11662.42 .|.|.|.|12-0.0172010/11/12662

11、.39 .|.|.|.|130.0022010/11/15663.03 .|.|.|.|140.0092010/11/16664.41 .|.|.|.|15-0.0412010/11/17664.9 .|.|.|.|16-0.0522010/11/18664.55 .|.|.|.|17-0.0052010/11/19664.08 .|.|.|.|18-0.0162010/11/22663.89 .|.|.|.|19-0.0012010/11/23664.69 .|.|.|.|200.0452010/11/24665.89 .|.|.|.|21-0.0122010/11/25665.57 .|.

12、|.|.|22-0.0182010/11/26665.53 .|.|*|.|23-0.0572010/11/29667 .|.|.|.|240.0042010/11/30667.62 .|.|.|.|25-0.0222010/12/1667.86 *|.|*|.|26-0.0812010/12/2666.91 .|.|.|.|270.0312010/12/6665.15 .|*|.|*|280.0942010/12/7665.65 .|.|.|.|29-0.0112010/12/8666.16 .|.|.|.|300.022010/12/9666.54 .|.|.|.|310.0532010/

13、12/10666.04 *|.|*|.|32-0.0782010/12/13666.3 .|.|.|.|33-0.0352010/12/14665.31 .|.|.|.|34-0.0162010/12/15665.66 .|.|.|.|350.0412010/12/16666.35 .|.|.|.|36-0.0122010/12/17665.932010/12/20666.232010/12/21665.972010/12/22665.482010/12/23664.662010/12/24663.712010/12/27663.052010/12/28662.52Date:09/04/12

14、Time:21:212010/12/29662.47Sample:2002 25592010/12/30662.29Included observations:5582010/12/31662.272011/1/4662.15AutocorrelationPartial Correlation AC 2011/1/5662.952011/1/6663.22 .|*|.|*|10.0832011/1/7663.41 .|.|.|.|20.0542011/1/10663.49 .|*|.|*|30.1092011/1/11662.16 .|*|.|.|40.0822011/1/12661.28 .

15、|*|.|*|50.1122011/1/13659.97 .|.|.|.|60.0132011/1/14658.96 .|.|.|.|70.0582011/1/17658.97 .|.|.|.|80.0452011/1/18658.91 .|*|.|.|90.0832011/1/19658.85 .|.|.|.|100.0332011/1/20658.83 .|.|.|.|110.0192011/1/21658.86 .|*|.|.|120.0892011/1/24658.83 .|.|.|.|130.0522011/1/25658.81 .|.|.|.|140.0332011/1/26658

16、.78 .|.|.|.|150.0382011/1/27658.76 .|.|.|.|160.0432011/1/28659.3 .|.|.|.|1702011/1/31658.91 .|.|.|.|180.0172011/2/1658.91 .|*|.|.|190.0762011/2/9658.5 .|.|.|.|200.0582011/2/10658.49 .|.|.|.|210.0312011/2/11659.52 .|*|.|.|220.0762011/2/14659.85 .|.|.|.|230.0442011/2/15659.29 .|.|.|.|240.0592011/2/166

17、58.55 .|.|.|.|250.0342011/2/17658 .|.|.|.|260.0132011/2/18657.81 .|.|.|.|27-0.012011/2/21657.05 .|.|.|.|280.0542011/2/22657.72 .|*|.|.|290.0672011/2/23658.28 .|.|*|.|30-0.0512011/2/24657.95 .|.|.|.|31-0.0162011/2/25657.57 .|.|.|.|320.0492011/2/28657.52 .|*|.|.|330.0692011/3/1657.06 .|*|.|*|340.09720

18、11/3/2657.36 .|.|.|.|350.0232011/3/3656.95 .|*|.|.|360.0762011/3/4656.712011/3/7656.512011/3/8656.872011/3/9657.482011/3/10657.132011/3/11657.5ARCH Test:2011/3/14657.012011/3/15656.79F-statistic 4.530491 Probability2011/3/16657.18Obs*R-squared4.510002 Probability2011/3/17656.92011/3/18656.682011/3/2

19、1656.32Test Equation:2011/3/22655.92Dependent Variable:RESID22011/3/23656.01Method:Least Squares2011/3/24656.25Date:09/04/12 Time:21:222011/3/25655.8Sample(adjusted):2003 25592011/3/28656.18Included observations:557 after adjustments2011/3/29656.252011/3/30655.86Variable CoefficientStd.Error t-Stati

20、stic2011/3/31655.642011/4/1655.27C0.367281 0.033721 10.891772011/4/4655.27RESID2(-1)0.082956 0.038974 2.1284952011/4/5655.272011/4/6654.96R-squared 0.008097 Mean dependent var2011/4/7654.56Adjusted R-squared0.00631 S.D.dependent var2011/4/8654.2S.E.of regression0.69839 Akaike info criterion2011/4/11

21、654.01Sum squared resid270.7007 Schwarz criterion2011/4/12654.4Log likelihood-589.397 F-statistic2011/4/13653.69Durbin-Watson stat2.061307 Prob(F-statistic)2011/4/14653.392011/4/15653.012011/4/18653.12011/4/19653.46Dependent Variable:RMBE2011/4/20652.94Method:ML-ARCH(Marquardt)-Normal distribution20

22、11/4/21652.28Date:09/04/12 Time:21:252011/4/22651.56Sample(adjusted):2002 25592011/4/25651.61Included observations:558 after adjustments2011/4/26651.73Convergence achieved after 31 iterations2011/4/27650.96Variance backcast:ON2011/4/28650.51GARCH=C(3)+C(4)*RESID(-1)2+C(5)*GARCH(-1)2011/4/29649.92011

23、/5/2649.9CoefficientStd.Error z-Statistic2011/5/3650.022011/5/4650.13C2.845556 1.118176 2.5448192011/5/5650.25RMBE(-1)0.995466 0.001736 573.28222011/5/6650.032011/5/9649.88Variance Equation2011/5/10649.52011/5/11649.48C0.009443 0.004138 2.2817612011/5/12650.05RESID(-1)2 0.07079 0.014206 4.9831842011

24、/5/13650.17GARCH(-1)0.903633 0.011602 77.886792011/5/16650.892011/5/17651.08R-squared 0.998489 Mean dependent var2011/5/18650.74Adjusted R-squared0.998478 S.D.dependent var2011/5/19650.48S.E.of regression0.646488 Akaike info criterion2011/5/20649.83Sum squared resid231.1244 Schwarz criterion2011/5/2

25、3649.98Log likelihood-521.889 F-statistic2011/5/24650.38Durbin-Watson stat1.844819 Prob(F-statistic)2011/5/25649.492011/5/26649.212011/5/27648.982011/5/30648.562011/5/31648.452011/6/1648.372011/6/2648.862011/6/3648.462011/6/6648.462011/6/7648.162011/6/8647.952011/6/9648.32011/6/10648.532011/6/13648.

26、922011/6/14648.222011/6/15647.962011/6/16648.032011/6/17647.162011/6/20646.962011/6/21646.92011/6/22646.832011/6/23647.362011/6/24647.422011/6/27647.52011/6/28647.232011/6/29647.182011/6/30647.162011/7/1646.852011/7/4646.612011/7/5646.52011/7/6647.152011/7/7647.322011/7/8647.052011/7/11647.092011/7/

27、12647.482011/7/13647.282011/7/14646.42011/7/15646.652011/7/18646.82011/7/19646.842011/7/20645.922011/7/21645.362011/7/22644.952011/7/25645.032011/7/26644.72011/7/27644.262011/7/28644.382011/7/29644.422011/8/1643.992011/8/2644.192011/8/3644.412011/8/4643.862011/8/5644.512011/8/8643.052011/8/9643.3520

28、11/8/10641.672011/8/11639.912011/8/12639.722011/8/15639.52011/8/16639.252011/8/17639.962011/8/18639.422011/8/19640.322011/8/22639.972011/8/23639.872011/8/24638.962011/8/25639.362011/8/26639.52011/8/29638.832011/8/30638.492011/8/31638.672011/9/1638.592011/9/2638.962011/9/6639.462011/9/7639.682011/9/8

29、638.892011/9/9639.222011/9/12639.222011/9/13639.822011/9/14639.452011/9/15638.782011/9/16637.972011/9/19638.482011/9/20638.82011/9/21637.722011/9/22638.082011/9/23638.42011/9/26637.352011/9/27637.62011/9/28636.232011/9/29636.652011/9/30635.492011/10/3635.492011/10/4635.492011/10/5635.492011/10/6635.

30、492011/10/7635.492011/10/10635.862011/10/11634.832011/10/12635.982011/10/13637.372011/10/14637.622011/10/17637.12011/10/18637.492011/10/19637.272011/10/20636.522011/10/21636.282011/10/24635.492011/10/25634.252011/10/26634.562011/10/27634.772011/10/28632.92011/10/31632.332011/11/1632.932011/11/2632.9

31、72011/11/3631.982011/11/4631.652011/11/7632.122011/11/8632.472011/11/9632.072011/11/10633.292011/11/11633.172011/11/14633.012011/11/15634.362011/11/16635.092011/11/17635.532011/11/18635.482011/11/21635.222011/11/22635.552011/11/23634.982011/11/24635.72011/11/25635.542011/11/28635.852011/11/29635.872

32、011/11/30634.822011/12/1633.532011/12/2633.12011/12/5633.492011/12/6633.342011/12/7633.422011/12/8633.192011/12/9633.522011/12/12632.972011/12/13633.592011/12/14633.962011/12/15634.212011/12/16633.522011/12/19633.032011/12/20633.512011/12/21632.482011/12/22632.532011/12/23632.092011/12/26631.672011/

33、12/27631.522011/12/28631.462011/12/29631.572011/12/30630.092012/1/2630.092012/1/3630.092012/1/4630.012012/1/5631.152012/1/6631.662012/1/9632.362012/1/10631.712012/1/11631.552012/1/12632.32012/1/13632.012012/1/16633.062012/1/17632.52012/1/18632.052012/1/19631.732012/1/20631.382012/1/23631.382012/1/24

34、631.382012/1/25631.382012/1/26631.382012/1/27631.382012/1/30630.562012/1/31631.152012/2/1631.032012/2/2630.752012/2/3631.022012/2/6631.082012/2/7631.162012/2/8630.272012/2/9630.092012/2/10629.372012/2/13629.392012/2/14629.472012/2/15629.582012/2/16629.912012/2/17629.512012/2/20629.382012/2/21629.620

35、12/2/22629.882012/2/23630.312012/2/24629.652012/2/27629.852012/2/28629.612012/2/29629.192012/3/1630.162012/3/2629.82012/3/5631.212012/3/6631.412012/3/7632.132012/3/8632.352012/3/9630.732012/3/12632.822012/3/13632.592012/3/14633.282012/3/15633.592012/3/166322012/3/19630.822012/3/20630.292012/3/21630.

36、922012/3/22630.042012/3/23628.912012/3/26628.582012/3/27628.42012/3/28629.122012/3/29629.322012/3/30629.432012/4/2629.432012/4/3629.432012/4/4629.432012/4/5630.352012/4/6630.722012/4/9630.212012/4/10630.482012/4/11630.182012/4/12629.842012/4/13628.792012/4/16629.62012/4/17628.962012/4/18629.482012/4

37、/19630.042012/4/20630.422012/4/23629.72012/4/24630.032012/4/25629.232012/4/26628.292012/4/27627.872012/4/30627.872012/5/1627.872012/5/2626.72012/5/3626.972012/5/4627.212012/5/7628.582012/5/8628.042012/5/9628.652012/5/10629.412012/5/11629.522012/5/14630.42012/5/15631.12012/5/16632.052012/5/17632.3320

38、12/5/18632.092012/5/21631.162012/5/22630.772012/5/23632.082012/5/24632.472012/5/25632.62012/5/28632.362012/5/29632.622012/5/30632.972012/5/31633.552012/6/1633.082012/6/4632.762012/6/5632.252012/6/6632.612012/6/7631.72012/6/8631.882012/6/11631.692012/6/12632.922012/6/13632.712012/6/14631.912012/6/156

39、30.892012/6/18630.052012/6/19630.162012/6/20630.042012/6/21630.42012/6/22630.42012/6/25632.32012/6/26632.112012/6/27631.732012/6/28631.92012/6/29632.492012/7/2631.462012/7/3631.782012/7/4631.212012/7/5631.932012/7/6632.492012/7/9632.932012/7/10631.952012/7/11632.092012/7/12632.152012/7/13632.472012/

40、7/16632.082012/7/17631.672012/7/18631.42012/7/19631.262012/7/20631.122012/7/23632.72012/7/24633.392012/7/25634.292012/7/26633.812012/7/27633.252012/7/30633.032012/7/31633.22012/8/1633.052012/8/2633.922012/8/3634.212012/8/6633.532012/8/7633.322012/8/8633.782012/8/9633.872012/8/10634.472012/8/13634.56

41、2012/8/14634.432012/8/15634.822012/8/16634.952012/8/17634.492012/8/20634.782012/8/21634.182012/8/22633.482012/8/23633.162012/8/24633.052012/8/27633.922012/8/28634.112012/8/29633.912012/8/30634.352012/8/31634.49 Prob.*0.0942Prob.0.00970.0122-0.086490.6480291.9635591.9790596.7424630.009664Null Hypothe

42、sis:RMBE has a unit rootLag Length:0(Automatic based on SIC,MAXLAG=18)*MacKinnon(1996)one-sided p-values.Augmented Dickey-Fuller Test EquationIncluded observations:558 after adjustmentsProb.0.01220647.386216.570631.9635591.979059367402.10 PAC Q-Stat Prob0.0612.10620.147Included observations:558 afte

43、r adjustments0.0122.24110.326-0.0112.28910.515-0.0222.58030.630.0715.15370.3970.0075.28620.5080.0215.62250.584-0.09910.8760.209-0.03612.3030.197012.3140.265-0.07215.1740.175-0.01815.3410.2230.01615.3430.2860.01515.3910.352-0.04116.3530.359-0.04717.9210.329-0.00117.9360.393-0.01418.090.45-0.01818.091

44、0.5160.0419.2760.504-0.0119.3620.562-0.01719.5430.612-0.06121.4230.5550.00321.4320.613-0.02921.7040.653-0.09225.5950.4860.02926.1710.5090.11331.3450.302-0.02431.410.3460.01331.6560.3840.06133.3160.355-0.09136.9310.252-0.05437.6440.265-0.04137.7990.30.04638.8020.302-0.00538.8820.341 PAC Q-Stat Prob0.

45、0833.85580.050.0485.50770.0640.10112.1680.0070.06515.9970.0030.09423.0970-0.01823.1880.0010.03725.0880.0010.01526.2550.0010.06530.15500.00430.7920.0010.00331.0090.0010.06335.54600.02637.09200.00637.7260.0010.01538.5440.0010.01739.6150.001-0.03239.6150.001-0.00139.7770.0020.06143.1610.0010.0445.130.0

46、010.00545.6840.0010.05749.0650.0010.01250.1850.0010.02552.2330.001052.930.001-0.0153.0330.001-0.04553.0980.0020.03354.8450.0020.04757.4720.001-0.06658.9990.001-0.03859.1450.0020.03260.5590.0020.05563.4220.0010.08168.97800.00669.28500.05372.75200.0337360.033697Prob.00.03370.4016960.7006042.1235072.1390284.5304910.033736Prob.0.01090Included observations:557 after adjustmentsMethod:ML-ARCH(Marquardt)-Normal distributionIncluded observations:558 after adjustmentsConvergence achieved after 31 iterationsGARCH=C(3)+C(4)*RESID(-1)2+C(5)*GARCH(-1)0.022500647.386216.570631.8884931.92724191347.320