请问大神们这个算DCC GARCH的程序到底哪里有问题啊 为什么结果总不对呢
data = xlsread('data.xlsx');
col_1=data(:,c1);
col_2=data(:,c2);
y=[];
y=col_1;
[parameters, likelihood, ht, stderrors, robustSE, scores, grad]=garchpq(y,1,1);
[results] = lmtest1(y./sqrt(ht),5);%check serial correlation
info.cnames=strvcat('Statistic','P-Value');
info.rnames=strvcat(' ','1','2','3','4','5');
matrix=[results.statistic';results.pval']';
mprint(matrix,info);
err_1= y./sqrt(ht);
y=[];
y=col_2;
[parameters, likelihood, ht, stderrors, robustSE, scores, grad]=garchpq(y,1,1);
[results] = lmtest1(y./sqrt(ht),5);%check serial correlation
info.cnames=strvcat('Statistic','P-Value');
info.rnames=strvcat(' ','1','2','3','4','5');
matrix=[results.statistic';results.pval']';
mprint(matrix,info);
err_2= y./sqrt(ht);
dcc_rets=[err_1 err_2];
[DCC_parameters,DCC_LL,DCC_Ht]=dcc_mvgarch(dcc_rets,1,1,1,1);
DCC_parameters
vpa(DCC_parameters,8)
DCC_LL
DCC_corr=squeeze(DCC_Ht(1,2,:))./(squeeze(sqrt(DCC_Ht(1,1,:))).*squeeze(sqrt(DCC_Ht(2,2,:))));
disp(DCC_corr);