GARCH模型在Matlab中的完成

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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 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% p - The lag length of the innovation 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% 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 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 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% 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);% 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% 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, 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% 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% reshape(X,k,k) will give the correct 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);% 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, 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% 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% stdresid - A t by k matrix of multivariate 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:% 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% 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, 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, 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% scores - A t by numParams matrix of individual scoresGARCH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战贫割翼% need 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 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=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 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 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 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);% 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_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startingparameters=scalar_bekk_mvgarch(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. % % % 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,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_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=;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, 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 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 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)*startingparameters(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. % % % 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 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=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, 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 = 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, 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.Display='iter'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