各位高手我在用Rats做BEKK,程序如下:
OPEN DATA "C:\Documents and Settings\Administrator\桌面\dangyue.csv"
set f1 = 100.0*log(QIHUO /QIHUO{1})
set s1 = 100.0*log(XIANHUO/XIANHUO{1})
system(model=var1)
variables f1 s1
lags 1
det constant
end(system)
garch(p=1,q=1,model=var1,mv=bek,pmethod=simplex,piters=10,hmatrices=hh,rvectors=rd)
但是运行的结果是:
MV-GARCH, BEKK - Estimation by BFGS
Convergence in 1 Iterations. Final criterion was 0.0000000 <= 0.0000100
48/Day of Undated Data From 1//01 To 74//48
Usable Observations 3552
Log Likelihood NA
NO ESTIMATED COEFFICIENTS
Variable Coeff Std Error T-Stat Signif
************************************************************************************
没有系数估计出来,我自己也不知道问题出在哪?谁能给解答一下