TGARCH与GARCH-M模型r语言代码

TGARCH模型的R语言代码：

library(rugarch)

# 定义TGARCH模型的specification
spec <- ugarchspec(variance.model = list(model = "fGARCH", submodel = "TGARCH", garchOrder = c(1,1)),
                   mean.model = list(armaOrder = c(0,0), include.mean = TRUE),
                   distribution.model = "norm")

# 用specification估计TGARCH模型
tgarch_fit <- ugarchfit(spec = spec, data = your_data)

# 输出模型参数
summary(tgarch_fit)

GARCH-M模型的R语言代码：

library(rugarch)

# 定义GARCH-M模型的specification
spec <- ugarchspec(variance.model = list(model = "garch", garchOrder = c(1,1), external.regressors = your_external_regressors),
                   mean.model = list(armaOrder = c(0,0), include.mean = TRUE),
                   distribution.model = "norm")

# 用specification估计GARCH-M模型
garch_m_fit <- ugarchfit(spec = spec, data = your_data)

# 输出模型参数
summary(garch_m_fit)

其中，your_data代表你的时间序列数据，your_external_regressors代表你的外部回归变量。