Question

急求，我的汇率的GARCH（1,1）-t分布的蒙特卡洛模拟eviews的编程问题

汇率的价格服从GARCH(1,1)-t分布，要预测未来252天的价格走势，运行结果是如下，请问我下面的代码哪儿有问题？论文需要，时间紧迫，请高手赐教，万分感谢！

'The distribution of eu series
!N=10000
workfile simus5 u 1 10000
series r
series w
series z
scalar sum4=0
for !i=1 to 10000
smpl 1 252
scalar sum1=0.0000618032
scalar sum2=0
scalar sum3=log(1.045)
series e=@rtdist(7.526)
e(1)=0
series u
u(1)=0
series h
h(1)=0.0000618032
series ln
ln(1)=log(1.045)

for !counter=1 to 252
u( !counter)=sum2
h( !counter)=sum1
ln( !coumter)=sum3
sum1=0.000000642+0.054181*u( !counter)*u( !counter)+0.935995*h( !counter)
sum2=e( !counter)*(sum1)^0.5
sum3=0.999030*ln( !counter)+u( !counter)

if sum3<log(1.0351) or sum3=log(1.0351) then r=0.0861 else r=0
endif
next
if @min(r)=0.0861 then
w(!i)=1
else w(!i)=0
endif
sum4=sum4+w(!i)
z(!i)=sum4
next
show z

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Answer 1

预测这么长时间，不建议这样做