matlab模型转m文件怎么打开,做bekk模型，怎样调用m文件，求助，挺急的T_T

大家好，目前我需要用matlab做garch-bekk模型，求两组金融高频数据的方差和协方差，以求套保比率。

现在，我已经找到了bekk的工具包，里面的程序如下，是一个m文件，我想知道，我怎样将我的两组数据带入，调用m文件，run出结果。

因为之前都没用过这个软件，想知道详细步骤，万分感谢，比较急，论坛币不多，希望能得到回复～或者用其它软件怎么做，有人知道么？

function [ll,lls,Ht] = bekk_likelihood(parameters,data,dataAsym,p,o,q,backCast,backCastAsym,type)

% Likelihood for BEKK(p,q) multivarate volatility model estimation

%

% USAGE:

%  [LL,LLS,HT] = bekk_likelihood(PARAMETERS,DATA,P,O,Q,BACKCAST,TYPE)

%

% INPUTS:

%   PARAMETERS   - Vector of parameters required to compute the (negative) of the log-likelihood

%   DATA         - K by K by T array of data

%   DATAASYM     - K by K by T array of asymmetric data

%   P            - Positive, scalar integer representing the number of symmetric innovations

%   O            - Non-negative, scalar integer representing the number of asymmetric innovations

%   Q            - Non-negative, scalar integer representing the number of conditional covariance lags

%   BACKCAST     - K by K matrix to use for back casting

%   TYPE         - Number indicating type:

%                    1 - Scalar

%                    2 - Diagonal

%                    3 - Full

%

% OUTPUTS:

%   LL           - The log likelihood evaluated at the PARAMETERS

%   LLS          - A T by 1 vector of log-likelihoods

%   HT           - A [K K T] dimension matrix of conditional covariances

%

% COMMENTS:

%

% See also BEKK

% Copyright: Kevin Sheppard

% kevin.sheppard@economics.ox.ac.uk

% Revision: 1    Date: 3/27/2012

% Get the parameters together

T = size(data,3);

k = size(data,2);

[C,A,G,B] = bekk_parameter_transform(parameters,p,o,q,k,type);

Ht = zeros(k,k,T);

lls = zeros(T,1);

logLikConst = k*log(2*pi);

for i=1:T

Ht(:,:,i) = C;

for j=1:p

if (i-j)<=0

Ht(:,:,i) = Ht(:,:,i) + A(:,:,j)'*backCast*A(:,:,j);

else

Ht(:,:,i) = Ht(:,:,i) + A(:,:,j)'*data(:,:,i-j)*A(:,:,j);

end

end

for j=1:o

if (i-j)<=0

Ht(:,:,i) = Ht(:,:,i) + G(:,:,j)'*backCastAsym*G(:,:,j);

else

Ht(:,:,i) = Ht(:,:,i) + G(:,:,j)'*dataAsym(:,:,i-j)*G(:,:,j);

end

end

for j=1:q

if (i-j)<=0

Ht(:,:,i) = Ht(:,:,i) + B(:,:,j)'*backCast*B(:,:,j);

else

Ht(:,:,i) = Ht(:,:,i) + B(:,:,j)'*Ht(:,:,i-j)*B(:,:,j);

end

end

lls(i) = 0.5*(logLikConst + log(det(Ht(:,:,i))) + sum(diag(Ht(:,:,i)^(-1)*data(:,:,i))));

end

ll = sum(lls);

if isnan(ll) || isinf(ll) || ~isreal(ll)

ll = 1e7;

end

kimility

回答于 2015/03/30 15:21

matlab:

[NUM,TXT,RAM]=xls('data')

[parameters, loglikelihood, Ht,...]  = full_bekk_mvgarch(NUM,1,1)