bekk matlab,关于GARCH-BEKK的输出结果

大家好 我用了这个源代码

function [parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores]  = full_bekk_mvgarch(data,p,q, BEKKoptions);

% PURPOSE:

%      To Estimate a full BEKK multivariate GARCH model.  %

%

% USAGE:

%      [parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores]  = full_bekk_mvgarch(data,p,q,options);

%

%

% 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)

%

% OUTPUTS:

%      parameters    - A (k*(k+1))/2+p*k^2+q*k^2 vector of estimated parameteters. F

%                         or any k^2 set of Innovation or AR parameters X,

%                         reshape(X,k,k) will give the correct matrix

%                         To recover C, use ivech(parmaeters(1:(k*(k+1))/2)

%      loglikelihood - The loglikelihood of the function at the optimum

%      Ht            - A k x k x t 3 dimension matrix of conditional covariances

%      likelihoods   - A t by 1 vector of individual likelihoods

%      stdresid      - A t by k matrix of multivariate standardized residuals

%      stderrors     - A numParams^2 square matrix of robust Standad Errors(A^(-1)*B*A^(-1)*t^(-1))

%      A             - The estimated inverse of the non-robust Standard errors

%      B             - The estimated covariance of teh scores

%      scores        - A t by numParams matrix of individual scores

% need to try and get some smart startgin values

if size(data,2) > size(data,1)

data=data';

end

[t k]=size(data);

k2=k*(k+1)/2;

scalaropt=optimset('fminunc')