frml gln = gdet-0.5/(1.0-rho**2)*((a1t(t)**2/h1(t))+(a2t(t)**2/h2(t)) $

-2*rho*a1t(t)*a2t(t)/sqrt(h1(t)*h2(t)))

那么写也没用，你试没试？是不是我的软件有问题。

[此贴子已经被作者于2007-8-22 21:16:09编辑过]

** constant correlation coefficient **

all 0 888:1

open data c:\m-ibmspln.dat

data(org=obs) / r1 r2

set h1 = 0.0

set h2 = 0.0

nonlin c1 c2 p11 p22 p12 a0 b0 a11 a21 a22 b11 b12 b21 b22 rho

frml a1t = r1(t)-c1-p11*r1{1}-p22*r1{2}-p12*r2{2}

frml a2t = r2(t)-c2

frml gvar1 = a0+a11*a1t(t-1)**2+b11*h1(t-1)+b12*h2(t-1)

frml gvar2 = b0+a21*a1t(t-1)**2+a22*a2t(t-1)**2+b21*h1(t-1)+b22*h2(t-1)

frml gdet = -0.5*(log(h1(t)=gvar1(t))+log(h2(t)=gvar2(t))+log(1.0-rho**2))

frml garchln = gdet-0.5/(1.0-rho**2)*((a1t(t)**2/h1(t))+(a2t(t)**2/h2(t)) $

-2*rho*a1t(t)*a2t(t)/sqrt(h1(t)*h2(t)))

smpl 4 888

compute c1 = 1.4, c2 = 0.7, p11 = 0.1, p22 = 0.1, p12 = -0.1

compute a0 = 3.0, a11=0.1, a21=0.02, a22=0.05

compute b0=2.0, b11=.8, b12=.01, b21=.01, b22=.8, rho = 0.1

*maximize(method=simplex,iterations=10) garchln

maximize(method=bhhh,recursive,iterations=150) garchln

MAXIMIZE - Estimation by BHHH

Convergence in 30 Iterations. Final criterion was 0.0000091 < 0.0000100

Usable Observations 885

Function Value -3689.82894719

Variable Coeff Std Error T-Stat Signif

*******************************************************************************

1. C1 1.350993713 0.224600739 6.01509 0.00000000

2. C2 0.703340778 0.154515184 4.55192 0.00000532

3. P11 0.072135720 0.028846844 2.50065 0.01239673

4. P22 0.055137272 0.034352092 1.60506 0.10847994

5. P12 -0.119231475 0.044040861 -2.70729 0.00678345

6. A0 2.976867786 0.591164242 5.03560 0.00000048

7. B0 2.094428327 0.465721591 4.49717 0.00000689

8. A11 0.079142552 0.012694020 6.23463 0.00000000

9. A21 0.041930388 0.009244965 4.53548 0.00000575

10. A22 0.045423782 0.009798448 4.63581 0.00000356

11. B11 0.872841408 0.020402845 42.78038 0.00000000

12. B12 -0.031306242 0.009296977 -3.36736 0.00075892

13. B21 -0.065627943 0.015433276 -4.25237 0.00002115

14. B22 0.912855323 0.014181747 64.36833 0.00000000

15. RHO 0.614103105 0.019799555 31.01601 0.00000000