各位大俠们:

小弟论文须要在CCC GARCH(1,1)的variance equations分別加入不同的外生変量， 我用RATS的GARCHMVMAX
CCC GARCH编程來修改如下: 紅色字是我修改的部分
*
* GARCHMVMAX.RPF
* RATS Version 8, User's Guide, Example from Section 9.9
*
open data g10xrate.xls
data(format=xls,org=columns) 1 6237 usxjpn usxfra usxsui
*
set xjpn = 100.0*log(usxjpn/usxjpn{1})
set xfra = 100.0*log(usxfra/usxfra{1})
set xsui = 100.0*log(usxsui/usxsui{1})
*
* Estimation using MAXIMIZE
* The initial few lines of this set the estimation range, which needs to
* be done explicitly, and the number of variables. Then, vectors for the
* dependent variables, residuals and residuals formulas are set up. The
* SET instructions copy the dependent variables over into the slots in
* the vector of series.
*
compute gstart=2,gend=6237
compute n=3
dec vect[series] y(n) ex(n) u(n)
dec vect[frml] resid(n)
set y(1) = xjpn
set y(2) = xfra
set y(3) = xsui
set ex(1) = xjpn/xfra
set ex(2) = xfra/xsui
set ex(3) = xsui/xjpn
* This is specific to a mean-only model. It sets up the formulas (the &i
* are needed in the formula definitions when the FRML is defined in a
* loop), and estimates them using NLSYSTEM. This both initializes the
* mean parameters, and computes the unconditional covariance matrix. If
* you want more general mean equations, the simplest way to do that
* would be to define each FRML separately.
*
dec vect b(n)
nonlin(parmset=meanparms) b
do i=1,n
frml resid(i) = (y(&i)-b(&i))
end do i
nlsystem(parmset=meanparms,resids=u) gstart gend resid
compute rr=%sigma
*
* The paths of the covariance matrices and uu' are saved in the
* SERIES[SYMM] names H and UU. UX and HX are used to pull in residuals
* and H matrices.
*
declare series[symm] h uu exog
*
* ux is used when extracting a u vector
*
declare symm hx(n,n)
declare vect ux(n) exo(n)
*
* These are used to initialize pre-sample variances.
*
gset h* gend = rr
gset uu * gend = rr
*
* This is a standard (normal) log likelihood formula for any
* multivariate GARCH model. The difference among these will be in the
* definitions of HF and RESID. The function %XT pulls information out of
* a matrix of SERIES.
*
declare frml[symm] hf
*
frml logl = $
hx = hf(t) , $
%do(i,1,n,u(i)=resid(i)) , $
ux = %xt(u,t), $
h(t)=hx, uu(t)=%outerxx(ux), $
exo =%xt(ex,t), $
exog(t)=%outerxx(exo),$
%logdensity(hx,ux)
*****************************************************

*****************************************************
*
* CC
* The correlations are parameterized using an (n-1)x(n-1) matrix for the
* subdiagonal. The (i,j) element of this will actually be the
* correlation between i+1 and j.
*
dec symm qc(n-1,n-1)
dec vect vcv(n) vbv(n) vav(n) rv(n)
*
function hfcccgarch time
type symm hfcccgarch
type integer time
do i=1,n
compute hx(i,i)=vcv(i)+vav(i)*h(time-1)(i,i)+vbv(i)*uu(time-1)(i,i)+rv(i)*exog(time-1)(i,i)
do j=1,i-1
compute hx(i,j)=qc(i-1,j)*sqrt(hx(j,j)*hx(i,i))
end do j
end do i
compute hfcccgarch=hx
end
*
frml hf = hfcccgarch(t)
nonlin(parmset=garchparms) vcv vbv vav rv qc
compute vcv=%xdiag(rr),vbv=%const(0.80),vav=%const(0.05),rv=%const(0.20),qc=%const(0.0)
maximize(parmset=meanparms+garchparms,pmethod=simplex,piters=10) logl gstart gend

它一直出現错誤

## MAT15. Subscripts Too Large or Non-Positive
The Error Occurred At Location 46, Line 5 of HFCCCGARCH

請教各位大俠到底是哪裡出错了? 感謝萬分