R语言mgarch包的说明_r语言garch_copula_var模型__附代码数据

#

数据处理思路

## 1.

原始数据为

4

组时间序列；

##

读取软件包

library

(

"fGarch"

)

library

(

"quantmod"

)

library

(ghyp)

library

(copula)

##

设置工作目录

##

读取数据

data=

read.csv

(

"Data.csv"

)

head

(data)

##          Pound         Jpan          Usd          Eur

## 1 -0.016689192 -0.006422036 -0.004161304  0.001084608

## 2  0.000000000  0.005993930  0.000000000 -0.034008741

## 3  0.000000000 -0.006850273  0.008322209 -0.013969242

## 4  0.012517495  0.010275005  0.000000000 -0.001120290

## 5  0.012513888 -0.007277877  0.020798548 -0.011676878

## 6 -0.008342191  0.002140679  0.012474350  0.007202157

data=