如何用matlab计算garch模型t分布和ged分布的分位数

如何用matlab计算garch模型t分布和ged分布的分位数

Dependent Variable: LOGRET
Method: ML ARCH - Student's t distribution (BFGS / Marquardt steps)
Date: 10/19/15 Time: 08:43
Sample (adjusted): 2 1356
Included observations: 1355 after adjustments
Convergence achieved after 35 iterations
Coefficient covariance computed using outer product of gradients
Presample variance: backcast (parameter = 0.7)
GARCH = C(1) + C(2)*RESID(-1)^2 + C(3)*GARCH(-1)

Variable Coefficient Std. Error z-Statistic Prob.

Variance Equation

C 5.21E-05 3.03E-05 1.718750 0.0857
RESID(-1)^2 0.443004 0.231959 1.909839 0.0562
GARCH(-1) 0.813210 0.021832 37.24869 0.0000

T-DIST. DOF 2.355394 0.226341 10.40640 0.0000

R-squared -0.003230 Mean dependent var 0.002828
Adjusted R-squared -0.002489 S.D. dependent var 0.049776
S.E. of regression 0.049838 Akaike info criterion -4.029660
Sum squared resid 3.365537 Schwarz criterion -4.014275
Log likelihood 2734.095 Hannan-Quinn criter. -4.023899
Durbin-Watson stat 1.789035

我用了eviews 自带的求分位数的函数@qtdist(置位水平，自由度）算出的结果进行Kupiec失败检验，效果不理想