[讨论]a question about markov-swarch?

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 I read the article: "Autoregressive Conditional Heteroskedasticity and Changes in Regime"

I run but I didn’t get "Standard errors ", I got:

Hessian not positive definite; eigenvalues are

      -3123.7859      0.075985291       0.16193627       0.49943561       0.69122753    

   3.0295138        24.472861        112.36484        254.87585        317.91162       

490.78811        807.76058        1110.8265

eigenvector associated with smallest eigenvalue is

      -3123.7859   -0.00025897235      0.032940982   -0.00035253652     -0.054274231    

 0.037139524     0.0013110261      0.024343360    0.00098927915       0.99691267   

0.00011323357    0.00034607053     -0.012597425   -0.00082235621

i change another data and the result is the same, I don't known why the result is. Please give me some suggestion.

some people tell me  there are some Q about "the initial values for parameters",but i don't know how to get the initial values for parameters.

thank u for ur reading !

Any suggestion will be appreciated!

[此贴子已经被作者于2009-4-14 21:16:59编辑过]

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关键词：question Markov SWARCH Quest About 讨论 question

楼主你好! 我刚刚了解markov-swarch模型,想知道该模型的参数估计需要用什么软件可以解决?
多谢! 请多指教!

you may get the direct result by RATS software!
I am a freshman in this model, and program it by myself now.

I have the same question with you，did you have solve the problem？

sca_7788 发表于 2009-8-22 15:29
you may get the direct result by RATS software!
I am a freshman in this model, and program it by myself now.

自己写程序，应该顶！

人家提示的意思是 更改初值
因为模型是MLE的 所以初值对于最后找到MLE影响很大

如果你用的现有的程序 里面会有 赋值的地方 可能别人自己选得自己认为合适的初值