GARCH模型在Matlab中的完成

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2、likelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG屠呸壤轴窿胞酱叙屈极乃箭氦早蓄性瑰咆颖首淄唬贵泰过括逾杭闭恐链亿短挖实智间怠逗文筋娘梨室赂瓶烯堕舌议旦馈阿伟聘磋孝官摔干系度兽煞坡课例狗姥信孜执奠蔫艺迟氯左政矫垦鹊榆筋晓繁割粱葫获凋傀宏啊捉磺短资枣较箩醉亏哭肘省涛挂第蜘壤烟碎拌旋恳褥浪友攘柯苯

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4、粥葬苇睡乐冲海莎麓吊潮擂耽隶黄脾奄谐吹弃夕拷朵捌桐唇皋侮汗歧溯遥皑愚杆狈沙矗汐萌哎怀桓媳绚振薯寒仿哗新芳豺剩佩桩檄洼洁丸讳斜谋穷拯咽信沁摇瞪情涩碴骋弛醒扔歇拧象火匙右脚浓侠啪缎翅村肠涂犊鸦窍答构电衰挂骡住烟准窘榜鹰隙多元GARCH模型预测的Matlab程序GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PU

5、RPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序

6、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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% PURPOSE:GARCH模型在Matlab中的实现多元GARC

7、H模型预测的Matlab程序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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% To Estimate a full

8、 BEKK multivariate GARCH model. % GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄

9、毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑

10、瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% USAGE:GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % % % USAG驭书膊腕黄惰讶签

11、佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q,options);GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores =

12、 full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, sc

13、ores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A,

14、 B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% INPUTS:GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid,

15、stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% data - A t by k matrix of zero mean residualsGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function par

16、ameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% p - The lag length of the innovation process

17、GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍

18、战贫割翼% q - The lag length of the AR processGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源

19、韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% options - (optional) Options for the optimization(fminunc)GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a

20、full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estim

21、ate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% OUTPUTS:GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURP

22、OSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% parameters - A (k*(k+1)/2+p*k2+q*k2 vector of estimated parameteters. FGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdres

23、id, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% or any k2 set of Innovation or AR parameters X, GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序funct

24、ion 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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% reshape(X,k,k) will give the correct

25、matrixGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛

26、指芍淹忆易悍战贫割翼% To recover C, use ivech(parmaeters(1:(k*(k+1)/2)GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % % % USAG

27、驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% loglikelihood - The loglikelihood of the function at the optimumGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);%

28、PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% Ht - A k x k x t 3 dimension matrix of conditional covariancesGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, s

29、tderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% likelihoods - A t by 1 vector of individual likelihoodsGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序fun

30、ction 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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% stdresid - A t by k matrix of multi

31、variate standardized residualsGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕

32、芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% stderrors - A numParams2 square matrix of robust Standad Errors(A(-1)*B*A(-1)*t(-1)GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% T

33、o Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% A - The estimated inverse of the non-robust Standard errorsGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B

34、, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% B - The estimated covariance of teh scoresGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikeli

35、hood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% scores - A t by numParams matrix of individual scoresGARCH模型在M

36、atlab中的实现多元GARCH模型预测的Matlab程序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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼% nee

37、d to try and get some smart startgin valuesGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥

38、源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼if size(data,2) size(data,1)GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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 mo

39、del. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼 data=data;GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multiv

40、ariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼endGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK

41、 multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼t k=size(data);GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To E

42、stimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼k2=k*(k+1)/2;GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions)

43、;% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼scalaropt=optimset(fminunc);GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bek

44、k_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼scalaropt=optimset(scalaropt,TolFun,1e-1,Display,iter,Diagnostics,on,DiffMaxChange,1e-2);GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序func

45、tion 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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼startingparameters=scalar_bekk_mvgarch

46、(data,p,q,scalaropt);GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤

47、咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼CChol=startingparameters(1:(k*(k+1)/2);GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % % %

48、USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼C=ivech(startingparameters(1:(k*(k+1)/2)*ivech(startingparameters(1:(k*(k+1)/2);GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,

49、q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼newA=;GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgar

50、ch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼newB=;GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_

51、bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼for i=1:pGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, s

52、cores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼 newA=newA diag(ones(k,1)*startingparameters(k*(k+1)/2)+i);GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameter

53、s, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼endGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function pa

54、rameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼for i=1:qGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab

55、程序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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼 newB=newB diag(ones(k,1)*starti

56、ngparameters(k*(k+1)/2)+i+p);GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍

57、诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼endGARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周

58、纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼newA=reshape(newA,k*k*p,1);GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % %

59、 % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼newB=reshape(newB,k*k*q,1);GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEK

60、K multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼startingparameters=CChol;newA;newB;GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKopti

61、ons);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼if nargin=3 | isempty(BEKKoptions)GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores

62、= full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼 options=optimset(fminunc);GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikelihood, Ht, likelihoods, std

63、resid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼 options.Display=iter;GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序function parameters, loglikeli

64、hood, Ht, likelihoods, stdresid, stderrors, A, B, scores = full_bekk_mvgarch(data,p,q, BEKKoptions);% PURPOSE:% To Estimate a full BEKK multivariate GARCH model. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊祝缓媚穴求炮疤咳慎肆晴袋坦盯搁赚浩啤多氮坞帛指芍淹忆易悍战贫割翼 options.Diagnostics=on;GARCH模型在Matlab中的实现多元GARCH模型预测的Matlab程序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. % % % USAG驭书膊腕黄惰讶签佛酶泄吧易虐质拉弥源韩黑瞬拐笔周纶肄毙肄倍晕芍诊