得到如下结果
Dependent Variable: R Method: ML - ARCH
Date: 10/21/04 Time: 21:48 Sample: 2000 2254
Included observations: 255
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Convergence achieved after 13 iterations Coefficient Std. Error z-Statistic Prob. C -0.000640 0.000750 -0.852888 0.3937 Variance Equation C 9.24E-05 1.66E-05 5.569337 0.0000 ARCH(1) 0.244793 0.082640 2.962142 0.0031 ARCH(2) 0.081425 0.077428 1.051624 0.2930 ARCH(3) 0.457883 0.109698 4.174043 0.0000 R-squared
-0.003823 Mean dependent var 0.000432 Adjusted R-squared -0.019884 S.D. dependent var 0.017364 S.E. of regression 0.017535 Akaike info criterion -5.495982 Sum squared resid
0.076872 Schwarz criterion
-5.426545
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Log likelihood 705.7377 Durbin-Watson stat 2.042013 为了比较，观察将q放大对系数估计的影响
Dependent Variable: R Method: ML - ARCH
Date: 10/21/04 Time: 21:54 Sample: 2000 2254
Included observations: 255
Convergence achieved after 16 iterations Coefficient Std. Error z-Statistic Prob. C -0.000601 0.000751 -0.799909 0.4238
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Variance Equation C 9.38E-05 1.60E-05 5.880741 0.0000 ARCH(1) 0.262009 0.090256 2.902959 0.0037 ARCH(2) 0.041930 0.070518 0.594596 0.5521 ARCH(3) 0.452187 0.108488 4.168076 0.0000 ARCH(4) -0.021920 0.050982 -0.429956 0.6672 ARCH(5) 0.037620 0.044394 0.847408 0.3968 R-squared
-0.003550 Mean dependent var 0.000432 Adjusted R-squared -0.027830 S.D. dependent var 0.017364 S.E. of regression 0.017603 Akaike info criterion -5.483292 Sum squared resid 0.076851 Schwarz criterion -5.386081 Log likelihood 706.1198 Durbin-Watson stat 2.042568 34
观察：说明q选取为3确实比较恰当。
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