yenfeng1 发表于 2018-1-26 21:00
我没QQ, 无法帮忙。
老师好,我有疑惑。
我用了一个matlab的程序包来进行dccgarch模型,相关资料我都看了。
但是里面有dccQ dccP archP garchQ 这几个参数是啥意思呢?
% INPUTS:
% data = A zero mean t by k vector of residuals from some filtration
% dccP = The lag length of the innovation term in the DCC estimator
% dccQ = The lag length of the lagged correlation matrices in the DCC estimator
% archP = One of three things: Empty in which case a 1 innovation model is estimated for each series
% A scalar, p in which case a p innovation model is estimated for each series
% A k by 1 vector in which case the ith series has innovation terms p=archP(i)
% garchQ = One of three things: Empty in which case a 1 GARCH lag is used in estimation for each series
% A scalar, q in which case a q GARCH lags is used in estimation for each series
% A k by 1 vector in which case the ith series has lagged variance terms q=archQ(i)
%