[有偿编程] MRS DCC GARCH 模型的MATLAB 程序修改 [推广有奖]

31楼

dbsdzl111 发表于 2013-4-29 16:45:09 |只看作者 |坛友微信交流群

楼主您好。我用Kevin的dcc_mvgarch的MATLAB程序，出现了一些问题，能不能请教一下您？望不吝赐教，谢谢。
下面是命令以及机器出现的错误提示：
[data,text]=xlsread('TRD_Dalyr','sheet3','C1:D1136');
>> dccP=1;
>> dccQ=1;
>> archP=1;
>> garchQ=1;
>> [para,log,Ht,Qt,stdresid,likelihoods,stderrors,A,B,jointscores]=dcc_mvgarch(data,dccP,dccQ,archP,garchQ)
Estimating GARCH model for Series 1
Warning: The default trust-region-reflective algorithm does not solve problems
with the constraints you have specified. FMINCON will use the active-set
algorithm instead. For information on applicable algorithms, see Choosing the
Algorithm in the documentation.
> In fmincon at 504
  In fattailed_garch at 198
  In dcc_mvgarch at 82
Warning: Your current settings will produce an error in a future release.
> In fmincon at 514
  In fattailed_garch at 198
  In dcc_mvgarch at 82
Estimating GARCH model for Series 2
Warning: The default trust-region-reflective algorithm does not solve problems
with the constraints you have specified. FMINCON will use the active-set
algorithm instead. For information on applicable algorithms, see Choosing the
Algorithm in the documentation.
> In fmincon at 504
  In fattailed_garch at 198
  In dcc_mvgarch at 82
Warning: Your current settings will produce an error in a future release.
> In fmincon at 514
  In fattailed_garch at 198
  In dcc_mvgarch at 82
Maximum recursion limit of 500 reached. Use set(0,'RecursionLimit',N) to change
the limit. Be aware that exceeding your available stack space can crash MATLAB
and/or your computer.

Error in optimoptioncheckfield>stringsType

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32楼

wujianmin90 发表于 2013-5-6 18:57:57 |只看作者 |坛友微信交流群

tulipsliu 发表于 2013-4-1 11:00
应该没有程序；
即使是engle 的学生 kevin sheppard ，也就是这个 DCC-MVGARCH 程序MATLAB 的编写人；他 ...

您好请问有MRS-GARCH模型的matlab程序吗因为写论文的关系正在学习您说有程序上传在论坛，可是都找不到啊能不能烦请发一下给我呢邮箱337541413@qq.com 万分感谢了！！

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33楼

tulipsliu

发表于 2013-5-9 13:01:27 |只看作者 |坛友微信交流群

有的，单变量的我发的。你到我的空间看我发的帖子。

劳动经济学

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34楼

nc2100

发表于 2013-10-26 10:27:17 |只看作者 |坛友微信交流群

tulipsliu 发表于 2011-6-24 23:17
8# zhangtao 朱钧钧的没有错误的。也许我上传的时候，删掉了 Lesage 的一个函数，那个 norm_rnd()，这个函 ...

前辈您好！我不太明白为什么朱博士的程序里在很多参数上都设定了现成的数字,如a_1，又如对于state的判断是人为设定了var_err_mean-0.00005和+0.00015两个门限来判断，然而对于Markov转换来说，所有这些参数难道不应该是最后估计出来的吗？对于state判断采取这样的标准又有什么依据，根据一定的门限来判断的话不是成了门限转换模型？谢谢指点！