请问GARCHSET这个命令的参数意义

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

我想估计一个GJR-GARCH模型，但是看不明白GARCHSET里的参数，HELP全都英文，弄的不是很明白。请教一下坛子里的兄弟，谢谢了
如：
spec=garehset(‘Distribution’,’T’,’C’,0,’FixC’,[l],’AR’,[0 0 0 0 0 0 1],’FixAR’,[1 1 0 1 1 0 1],‘VarianceModel’,’GJR’,’GARCH’,[0.82654068687951981],’FixGARCH,[1],’ARCH’,[0.08934615466454064 0.02172080202577943],’FixARCH’,[11],’Leverage’,[0.075000010262122380],’FixLeverage’,[1 1],’Maxlter’1000,’TolCon’,le-015,’TolFun’,le-015,’TolX’le-015);

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：GARCHSET GARCH ARCH RCH CHS 命令 参数 GARCHSET

这是从某人的论文里粘贴出来，看不明白 ，哪个解释一下啊

matlab help文件有对garchset的详细说明，自己对照看吧。


General Parameters
ParameterValueDescriptionCommentString.
Default is a model summary.User-defined summary comment. An example of the default is 'Mean: ARMAX(0,0,?); Variance: GARCH(1,1)'. Distribution'T' or 'Gaussian'. Default is 'Gaussian'.Conditional distribution of innovations.DoFScalar. Default = [].Degrees of freedom parameter for t distributions (must be > 2).
Conditional Mean Parameters
If you specify coefficient vectors AR and MA, but not their corresponding model orders R and M, garchset infers the values of the model orders from the lengths of the coefficient vectors.
ParameterValueDescriptionRNonnegative integer scalar. Default is 0. Autoregressive model order of an ARMA(R,M) model.MNonnegative integer scalar. Default is 0.Moving-average model order of an ARMA(R,M) model.CScalar coefficient. Default is []. Conditional mean constant. If C = NaN, garchfit ignores C, effectively fixing C = 0, without requiring initial estimates for the remaining parameters.ARR-element vector. Default is [].Conditional mean autoregressive coefficients that imply a stationary polynomial.MAM-element vector. Default is [].Conditional mean moving-average coefficients that imply an invertible polynomial.RegressVector of coefficients. Default is [].Conditional mean regression coefficients.
Conditional Variance Parameters
If you specify coefficient vectors GARCH and ARCH, but not their corresponding model orders P and Q, garchset infers the values of the model orders from the lengths of the coefficient vectors.
ParameterValueDescriptionVarianceModel'GARCH', 'EGARCH', 'GJR', or 'Constant'. Default is 'GARCH'. Conditional variance model.PNonnegative integer scalar. P must be 0 if Q is 0. Default is 0.Model order of GARCH(P,Q), EGARCH(P,Q), and GJR(P,Q) models.QNonnegative integer scalar. Default is 0.Model order of GARCH(P,Q), EGARCH(P,Q), and GJR(P,Q) models.KScalar coefficient. Default is [].Conditional variance constant.GARCHP-element vector. Default is [].Coefficients related to lagged conditional variances.ARCHQ-element vector. Default is [].Coefficients related to lagged innovations (i.e., residuals). LeverageQ-element vector. Default is [].Leverage coefficients for asymmetric EGARCH(P,Q) and GJR(P,Q) models.
Equality Constraint Parameters
These parameters are used only by garchfit during estimation. Use these parameters cautiously. The problem can experience difficulty converging if the fixed value is not well suited to the data at hand.
Parameter ValueDescriptionFixDoFLogical scalar. Default is [].Equality constraint indicator for DoF parameter.FixCLogical scalar. Default is [].Equality constraint indicator for C constant.FixARR-element logical vector. Default is [].Equality constraint indicator for AR coefficients.FixMAM-element logical vector. Default is [].Equality constraint indicator for MA coefficients.FixRegressLogical vector. Default is [].Equality constraint indicator for the REGRESS coefficients.FixKLogical scalar. Default is [].Equality constraint indicator for the K constant.FixGARCHP-element logical vector. Default is [].Equality constraint indicator for the GARCH coefficients.FixARCHQ-element logical vector. Default is [].Equality constraint indicator for the ARCH coefficients.FixLeverageQ-element logical vector. Default is [].Equality constraint indicator for Leverage coefficients.
Optimization Parameters
garchfit uses these parameters in calling the Optimization Toolbox function fmincon during estimation.
ParameterValueDescriptionDisplay'on' or 'off'. Default is 'on'.Display iterative optimization information.MaxFunEvalsPositive integer. Default = (100*number of estimated parameters). Maximum number of objective function evaluations allowed.MaxIterPositive integer. Default is 400.Maximum number of iterations allowed.TolConPositive scalar. Default is 1e-007.Termination tolerance on the constraint violation.TolFunPositive scalar. Default is 1e-006.Termination tolerance on the objective function value.TolXPositive scalar. Default is 1e-006.Termination tolerance on parameter estimates.

3L等于没有说哦……

直接从软件上看

在help中输入相关命令相应，即可得到详细的介绍