>> dcc_mvgarch(A,1,1,1,1)
Estimating GARCH model for Series 1
Warning: Options LargeScale = 'off' and Algorithm = 'trust-region-reflective' conflict.
Ignoring Algorithm and running active-set algorithm. To run trust-region-reflective, set
LargeScale = 'on'. To run active-set without this warning, use Algorithm = 'active-set'.
> In fmincon at 445
In fattailed_garch at 198
In dcc_mvgarch at 82
Estimating GARCH model for Series 2
Warning: Options LargeScale = 'off' and Algorithm = 'trust-region-reflective' conflict.
Ignoring Algorithm and running active-set algorithm. To run trust-region-reflective, set
LargeScale = 'on'. To run active-set without this warning, use Algorithm = 'active-set'.
> In fmincon at 445
In fattailed_garch at 198
In dcc_mvgarch at 82
Estimating the DCC model
Warning: Options LargeScale = 'off' and Algorithm = 'trust-region-reflective' conflict.
Ignoring Algorithm and running active-set algorithm. To run trust-region-reflective, set
LargeScale = 'on'. To run active-set without this warning, use Algorithm = 'active-set'.
> In fmincon at 445
In dcc_mvgarch at 98
____________________________________________________________
Diagnostic Information
Number of variables: 2
Functions
Objective: dcc_mvgarch_likelihood
Gradient: finite-differencing
Hessian: finite-differencing (or Quasi-Newton)
Constraints
Nonlinear constraints: do not exist
Number of linear inequality constraints: 1
Number of linear equality constraints: 0
Number of lower bound constraints: 2
Number of upper bound constraints: 0
Algorithm selected
medium-scale: SQP, Quasi-Newton, line-search
____________________________________________________________
End diagnostic information
Max Line search Directional First-order
Iter F-count f(x) constraint steplength derivative optimality Procedure
0 3 371.557 -0.009998
1 11 370.344 -0.01937 0.0313 -140 312
2 21 370.257 -0.02603 0.00781 -34.8 82
3 25 370.082 -0.02081 0.5 -56 86.5
4 28 369.757 -0.02524 1 -52.8 6.83
5 31 369.751 -0.02493 1 -5.62 0.597
6 34 369.751 -0.02482 1 -0.645 0.151
7 37 369.751 -0.02481 1 -0.138 0.0341 Hessian modified
Local minimum possible. Constraints satisfied.
fmincon stopped because the size of the current search direction is less than
twice the default value of the step size tolerance and constraints were
satisfied to within the selected value of the constraint tolerance.
No active inequalities.
ans =
0.0001
0.1071
0.8498
0.0001
0.0429
0.9448
0.0297
0.9455
输入的数据为两时间序列,输入参数A为501×2的矩阵,上面为输出结果,ans=....那八个数字分别代表什么还搞不清楚,还有动态相关系数的数据该怎么得出,求高手解答?