bekk matlab,MFE工具箱中的bekk函数中两个问题

本帖最后由 郝倞 于 2014-9-14 14:44 编辑

最近在做毕业论文，需要用bekk模型，matlab中help bekk提示如下：  [PARAMETERS,LL,HT,VCV,SCORES] = bekk(DATA,DATAASYM,P,O,Q,TYPE,STARTINGVALS,OPTIONS)

bekk is both a directory and a function.

Estimation of symmetric and asymmetric bekk(p,o,q) multivarate volatility models

USAGE:

[PARAMETERS] = bekk(DATA,[],P,O,Q)

[PARAMETERS,LL,HT,VCV,SCORES] = bekk(DATA,DATAASYM,P,O,Q,TYPE,STARTINGVALS,OPTIONS)

INPUTS:

DATA         - A T by K matrix of zero mean residuals -OR-

K by K by T array of covariance estimators (e.g. realized covariance)

DATAASYM     - [OPTIONAL] K by K by T array of asymmetric covariance estimators only needed if

DATA is 3-dimensional and O>0

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

TYPE         - [OPTIONAL] String, one of 'Scalar' (Default) ,'Diagonal' or 'Full'

STARTINGVALS - [OPTIONAL] Vector of starting values to use.  See parameters and COMMENTS.

OPTIONS      - [OPTIONAL] Options to use in the model optimization (fmincon)

OUTPUTS:

PARAMETERS   - Vector of parameters.  The form of the parameters depends on the TYPE.

'Scalar':

[CC' a(1) ... a(p) g(1) ... g(o) b(1) ... b(q)]'  (all scalars)

'Diagonal'

[CC' diag(A(:,:,1))' ... diag(A(:,:,p))' diag(G(:,:,1))' ... diag(G(:,:,o))' diag(B(:,:,1))' ... diag(B(:,:,p))']'

'Full'

[CC' f(A(:,:,1)) ... f(A(:,:,p)) f(G(:,:,1)) ... f(G(:,:,o)) f(B(:,:,1)) ... f(B(:,:,q))]'

where CC = chol2vec(C')' and f(M) = M(:)'

LL           - The log likelihood at the optimum

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

VCV          - A numParams^2 square matrix of robust parameter covariances (A^(-1)*B*A^(-1)/T)

SCORES       - A T by numParams matrix of individual scores

COMMENTS:

The dynamics of a bekk are given by

H(:,:,t) = C*C' +

A(:,:,1)'*OP(:,:,t-1)*A(:,:,1) + ... + A(:,:,p)'*OP(:,:,t-1)*A(:,:,p) +

G(:,:,1)'*OPA(:,:,t-1)*G(:,:,1) + ... + G(:,:,o)'*OPA(:,:,t-1)*G(:,:,o) +

B(:,:,1)'*G(:,:,t-1)*B(:,:,1) + ... + B(:,:,q)'*OP(:,:,t-1)*B(:,:,q)

where in the scalar model A(:,:,i) = a(i)*eye(K) (similarly for G and B).

Use bekk_parameter_transform to produce formatted parameter matrices.

See also bekk_simulate, bekk_parameter_transform, rarch

两个问题：

1、输出部分的HT，按照help提示的应该是一个[K  K  T]维的矩阵吧，怎么我做出来是个[K，K，T+1]维的，多出了一页，不合理啊。

2、DATAASYM这个是不是已实现的方差-协方差矩阵啊？要自己编一小段算出来时吧？不知道哪位大神遇到过类似第一个的问题，第二个给点提示也好啊。

可以做如下小程序，

PARA=[0.00357460132567677;0.00161923973530560;0.00103131388676117;0.399431477394937;0.0165599809459979;-0.0265518007745671;0.233371240388713;0.830112532352297;-0.0195658469175946;0.113649710973876;0.931668342134348;];

[DATA,HT] = bekk_simulate(1000,2,PARA,1,0,1,'Full');

[para_bekk,ll_bekk,ht_bekk]=bekk(DATA,[],1,0,1,'full');

ht_bekk应该是[2 2 1000]维吧，结果反而是[2,2,1001]维，和HT明显不一样