我参照EVIEWS中的GARCH范例编写了如下代码:
coef(1) mu
coef(1) omega
coef(1) alpha
coef(1) beta
smpl 1992.2 2008.4
equation equ1.ls atr c
mu(1)=equ1.c(1)
omega(1)=equ1.@se^2
smpl 1992.1 1992.1
series sig2=omega(1)
logl log1
log1.append @logl logl1
log1.append res=atr-mu(1)
log1.append sig2 = omega(1)+alpha(1)*res(-1)^2 +beta(1)*sig2(-1)
log1.append z = [email=res/@sqrt(sig2]res/@sqrt(sig2[/email])
log1.append logl1 =log(@dnorm(z))-log(sig2)/2
smpl 1992.2 2008.4
log1.ml(showopts, m=500)
show log1.output
但以执行就显示logl1序列有缺失值,sig2序列本就应该是逐次递推的啊,忙了一上午也不知道错在哪?
请大人们帮我看看,指点我错在哪~~~~~