各位大侠,我在使用RATS,遇到些问题,请教各位
我提并的程序
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* This program performs Smooth GARCH(1,1) Estimation
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all 330
open data on.xls
data(org=obs,format=xls) / ir
table / ir
set h = 0.0
*list of parameters to be estimated
nonlin mu gamma p1 p2 a0 a1 a2 b0 b1 b2
frml at = ir(t) - mu - p1*ir(t-1) - p2*ir(t-2)
frml var1 = a0+a1*at(t-1)**2+a2*h(t-1)
frml var2 = b0+b1*at(t-1)**2+b2*h(t-1)
frml gvar = var1(t)+var2(t)/(1.0+exp(-at(t-1)*gamma))
frml garchlog = -0.5*log(h(t)=gvar(t))-0.5*at(t)**2/h(t)
smpl 8 330
compute p1 = 1.2, p2 = -0.3, a0 = -23.3, a1 = -11.6, a2 = -4.97
compute b0 = 46.6, b1 = 24.5, b2 = 10.5, mu = 1.5, gamma=0.02
maximize(method=bhhh,recursive,iterations=100000) garchlog
运行RATS程序,总是提示以下信息(能给出估计结果)。不太明白是什么意思?好象与初值的选择有关系,如何改进呢?
MAXIMIZE - Estimation by BHHH
NO CONVERGENCE IN 48 ITERATIONS
LAST CRITERION WAS 0.0000000
SUBITERATIONS LIMIT EXCEEDED. ESTIMATION POSSIBLY HAS STALLED OR MACHINE ROUNDOFF IS MAKING FURTHER PROGRESS DIFFICULT.
TRY HIGHER SUBITERATIONS LIMIT, TIGHTER CVCRIT, DIFFERENT SETTING FOR EXACTLINE OR ALPHA ON NLPAR.
RESTARTING ESTIMATION FROM LAST ESTIMATES OR DIFFERENT INITIAL GUESSES MIGHT ALSO WORK