Best MATLAB GARCH toolbox

thanks you!!

谢谢

请问哈，matlab中能不能进行FIGARCH的参数估计啊？

网上找了很久，终于今天在这里发现了这个好东西！

thanks so much

下载了stats和optim，还是找不到 chis_cdf.m文件，能指点一下吗？

在运行demo的第2段时出现了错误，请问各位高手是什么原因呢？

??? Error using ==> max
Matrix dimensions must agree.

Error in ==> finitedifferences at 86
CHG = sqrt(eps)*sign(xCurrent).*max(abs(xCurrent),abs(typicalx));

Error in ==> optim\private\nlconst at 280
[gf,gnc,NEWLAMBDA,OLDLAMBDA,s]=finitedifferences(XOUT,x,funfcn,confcn,lb,ub,f,nc, ...

Error in ==> fmincon at 512
[X,FVAL,lambda,EXITFLAG,OUTPUT,GRAD,HESSIAN]=...

Error in ==> fattailed_garch at 198
[parameters, LLF, EXITFLAG, OUTPUT, LAMBDA, GRAD] = fmincon('fattailed_garchlikelihood', startingvals ,sumA , sumB ,[] , [] , LB , UB,[],options, data, p , q, errortype, stdEstimate^2, T);

Error in ==> ucsd_garch_demo at 98
[parameters, likelihood, stderrors, robustSE, ht, scores] = fattailed_garch(x , 1 ,1 , 'NORMAL');

请帮忙，发现错误

Beginning the UCSD_GARCH demo program. This program is designed to
help you get a basic feel for the programs included, but does not show all
functionality. Please press a key to continue.

We will begin by simulatig a simple univariate GARCH process with normal innovations.
The command to do this is:

[x,h]=garchsimulate([.01; .2; .75],1,1,1000)

where x is the output data series, h is the output conditional variances, the vector [.01; .04; .94]
represents the constant, arch and garch parameters, the two 1s represent the arch and garch orders.
and 500 is the amount of output desired.

We shoudl test out data for the presense of GARCH. This can be done by calling lmtest2
[statistic, pval] = lmtest2(x,5)
where statistic is the estimated statistic and pval are the associated probabilities the squares of the residuals are independent.
??? Undefined function or method 'chis_cdf' for input arguments of type 'double'.

Error in ==> lmtest2 at 40
results.pval=1-chis_cdf(statistic,(1:q)');

你要下载JPL的统计包才能运行

我运行demo也出现了同样的错误，我的matlab的版本是R2007a。

我也尝试的修改了一下chi_cdf那个文件lmtest2.m，在matlab里面的stats里面有一个chi2cdf，不过好像还是有问题，难道这个版本的只能在matlab6里面使用？

请高手指点！