matlab怎么运行DCC-GA,matlab中DCC-MVGARCH的运行问题!求助!

不知道为什么我在matlab中调用函数出现了以下结果

dcc_mvgarch(data,1,1,1,1);

Estimating GARCH model for Series 1

Estimating GARCH model for Series 2

EXITFLAG =

0

Not Sucessful!

Estimating the DCC model

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

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

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

End diagnostic information

max                   Directional   First-order

Iter F-count        f(x)   constraint    Step-size   derivative   optimality Procedure

0      3      1750.79    -0.009998

1      7      1749.21  -2.655e-019            1       0.0569          334

2     11      1749.18            0            1      -0.0312         8.53

3     21      1749.14            0       0.0156         4.94           86  Hessian modified twice

4     25      1749.13            0            1      0.00205        0.359

5     29      1749.13            0            1    2.84e-006      0.00737

6     33      1749.13            0            1     8.3e-010     0.000107  Hessian modified

Optimization terminated: Magnitude of directional derivative in search

direction less than 2*options.TolFun and maximum constraint violation

is less than options.TolCon.

Active inequalities (to within options.TolCon = 1e-006):

lower      upper     ineqlin   ineqnonlin

2

parameters =

0.0000

0.1029

0.8167

0.0000

0.1713

0.8162

0.0139

0.0000

哪个大神告诉我Estimating GARCH model for Series 1

Estimating GARCH model for Series 2

EXITFLAG =

0

Not Sucessful!

exitflag=0是出了什么问题么??

  • 0
    点赞
  • 0
    收藏
    觉得还不错? 一键收藏
  • 0
    评论
DCC-MVGARCH (Dynamic Conditional Correlation - Multivariate GARCH) is a model used for estimating the conditional correlation matrix of a multivariate time series. It is an extension of the traditional GARCH model, which allows for time-varying correlation between the variables. In MATLAB, you can use the Econometrics Toolbox to estimate the DCC-MVGARCH model. The toolbox provides functions such as `dcc` and `mvnormpdf` that can be used for this purpose. Here is an example code snippet that shows how to estimate a DCC-MVGARCH model using MATLAB: ```matlab % Load the multivariate time series data load('data.mat'); % Specify the number of variables in the series numVariables = size(data, 2); % Specify the GARCH model specifications spec = garchset('R', 1, 'M', 1, 'Q', 1); % Estimate the conditional variances and residuals using univariate GARCH models [~, ~, ~, ~, residuals] = garchfit(spec, data); % Estimate the DCC-MVGARCH model specDCC = dccspec('VarianceModel', spec, 'Distribution', 't'); [estParams, ~, stdErrors, ~, LLF] = dccfit(residuals, specDCC); % Get the estimated conditional correlation matrix R = dccvar(estParams, residuals, specDCC); % Display the estimated parameters and standard errors disp(estParams); disp(stdErrors); % Display the log-likelihood value disp(LLF); % Display the conditional correlation matrix disp(R); ``` Please note that you need to have the Econometrics Toolbox installed in MATLAB to use these functions. Also, make sure to replace `'data.mat'` with the file name or data matrix containing your multivariate time series data. I hope this helps! Let me know if you have any further questions.

“相关推荐”对你有帮助么?

  • 非常没帮助
  • 没帮助
  • 一般
  • 有帮助
  • 非常有帮助
提交
评论
添加红包

请填写红包祝福语或标题

红包个数最小为10个

红包金额最低5元

当前余额3.43前往充值 >
需支付:10.00
成就一亿技术人!
领取后你会自动成为博主和红包主的粉丝 规则
hope_wisdom
发出的红包
实付
使用余额支付
点击重新获取
扫码支付
钱包余额 0

抵扣说明:

1.余额是钱包充值的虚拟货币,按照1:1的比例进行支付金额的抵扣。
2.余额无法直接购买下载,可以购买VIP、付费专栏及课程。

余额充值