在MATLAB中实现的GARCH-BKK程序的前几句如下:
function [parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores] = full_bekk_mvgarch(data,p,q, BEKKoptions);
% INPUTS:
% data - A t by k matrix of zero mean residuals
% p - The lag length of the innovation process
% q - The lag length of the AR process
% options - (optional) Options for the optimization(fminunc)
其中输入的变量依次为:data,p,q, BEKKoptions
还有对这四个输入变量的解释,不太理解,不知哪位大侠能帮忙解释通俗一下,谢过了!