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我使用MATLAB的UCSD GARCH包中的EGARCH函数估计,
[parameters, likelihood, stderrors, robustSE, ht, scores] = egarch(y1 ,1, 1 ,1 , 'NORMAL');
显示错误:
??? Error using ==> mtimes
Inner matrix dimensions must agree.
Error in ==> egarchcore at 27
h(t) = exp(parameters' * [1 ; data(t-(1:p))./sqrt(h(t-(1:p))); abs(data(t-(1:o)))./sqrt(h(t-(1:o)));
log(h(t-(1:q)))]);
Error in ==> egarchEstLikelihood at 65
h=egarchcore(data, parameters, stdEstimate, p, o, q ,m , T);
Error in ==> egarch at 139
LLF=egarchEstLikelihood([Omega;alpha;beta], data, p ,o, q, T, stdEstimate, 1);
包中的EGARCH函数如下所示
function [parameters, likelihood, stderrors, robustSE, ht, scores]=egarch(data,p,o,q,errors, options, startingvals);
我运行包作者的ucsd_garch_demo以及其他一些garch函数是都没问题,不知egarch为什么出错。
急用!请高手指点!