matlab garchset,请问GARCHSET这个命令的参数意义

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.