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[问答] uscd_garch中BEKK估计出来的结果解释 [推广有奖]

21
cuplcjs 学生认证  发表于 2014-10-27 11:18:19 |只看作者 |坛友微信交流群
急求BEKK-GARCH模型的matlab程序,求发2410516903@qq.com,多谢啦!!!

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22
cuplcjs 学生认证  发表于 2014-10-27 11:20:35 |只看作者 |坛友微信交流群
急求BEKK-GARCH模型的matlab程序,求发2410516903@qq.com,多谢啦!!!

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23
zhananzhuo 发表于 2017-4-14 19:15:04 |只看作者 |坛友微信交流群
你好,我用了三个序列,然后运行了一半出现了问题,请问有好心人能帮忙解决吗~
Press any key to estimate.Warning: Options LargeScale = 'off' and Algorithm = 'trust-region-reflective' conflict.
Ignoring Algorithm and running active-set method. To run trust-region-reflective, set
LargeScale = 'on'. To run active-set without this warning, use Algorithm = 'active-set'.
> In fmincon at 395
  In tarch at 149
  In multigarch at 157
  In ucsd_garch_demo at 196
??? Error using ==> fmincon at 504
FMINCON cannot continue because user supplied objective function failed with the following error:
Undefined function or method 'tarchcore' for input arguments of type 'double'.

Error in ==> tarch at 149
[parameters, LLF, EXITFLAG, OUTPUT, LAMBDA, GRAD] =  fmincon('tarchlikelihood', [omega ; alpha; tarch ; beta] ,sumA  , sumB ,[] , [] , LB , UB,[],options,data, p ,o, q, m, stdEstimate, type);

Error in ==> multigarch at 157
startingvalues(1:1+p+q+o)=tarch(data,p,o,q,'TARCH',[],newoptions);

Error in ==> ucsd_garch_demo at 196
[parametersAP, likelihoodAP, stderrorsAP, robustSEAP, htAP, scoresAP]=multigarch(errors,1,1,1,'APGARCH','NORMAL');

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24
Collins2018 发表于 2021-6-7 16:52:44 |只看作者 |坛友微信交流群
您好,我想请教一下,这个程序的input里面要求data是一个A t by k matrix of zero mean residuals,这个零均值残差如何得到呢

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