以下是我的输出结果，我的版本是6.20.

第一种是用BHHH算法估计的

MV-GARCH, BEKK - Estimation by BHHH
Convergence in     1 Iterations. Final criterion was     NA     <  0.0000100
Daily(5) Data From 2005:09:14 To 2007:10:31
Usable Observations    532
 Total Observations    556      Skipped/Missing       24
Log Likelihood                        NA

   Variable                     Coeff       Std Error      T-Stat     Signif
*******************************************************************************
1.  Mean(1)                       NA          0.000000      0.00000  0.00000000
2.  Mean(2)                       NA          0.000000      0.00000  0.00000000
3.  C(1,1)                        NA          0.000000      0.00000  0.00000000
4.  C(2,1)                        NA          0.000000      0.00000  0.00000000
5.  C(2,2)                        NA          0.000000      0.00000  0.00000000
6.  A(1,1)                        NA          0.000000      0.00000  0.00000000
7.  A(1,2)                        NA          0.000000      0.00000  0.00000000
8.  A(2,1)                        NA          0.000000      0.00000  0.00000000
9.  A(2,2)                        NA          0.000000      0.00000  0.00000000
10. B(1,1)                        NA          0.000000      0.00000  0.00000000
11. B(1,2)                        NA          0.000000      0.00000  0.00000000
12. B(2,1)                        NA          0.000000      0.00000  0.00000000
13. B(2,2)                        NA          0.000000      0.00000  0.00000000
14. D(1,1)                        NA          0.000000      0.00000  0.00000000
15. D(1,2)                        NA          0.000000      0.00000  0.00000000
16. D(2,1)                        NA          0.000000      0.00000  0.00000000
17. D(2,2)                        NA          0.000000      0.00000  0.00000000
18. Shape                         NA          0.000000      0.00000  0.00000000

第二种是用BFGS算法估计的

GARCH(P=1,Q=1,MV=BEKK,method=BHHH,RVECTORS=RESI,HMATRICES=VARI,DIST=T,ASYMMETRIC) / FWDDIFF NDFDIFF

MV-GARCH, BEKK - Estimation by BFGS
NO CONVERGENCE IN 4 ITERATIONS
LAST CRITERION WAS  0.0000000
SUBITERATIONS LIMIT EXCEEDED. ESTIMATION POSSIBLY HAS STALLED OR MACHINE ROUNDOFF IS MAKING FURTHER PROGRESS DIFFICULT.
TRY HIGHER SUBITERATIONS LIMIT, TIGHTER CVCRIT, DIFFERENT SETTING FOR EXACTLINE OR ALPHA ON NLPAR.
RESTARTING ESTIMATION FROM LAST ESTIMATES OR DIFFERENT INITIAL GUESSES MIGHT ALSO WORK
Daily(5) Data From 2005:09:14 To 2007:10:31
Usable Observations    532
 Total Observations    556      Skipped/Missing       24
Log Likelihood                        NA

   Variable                     Coeff       Std Error      T-Stat     Signif
*******************************************************************************
1.  Mean(1)                      -0.00017      0.00014     -1.21273  0.22523389
2.  Mean(2)                      -0.00017      0.00012     -1.37521  0.16906733
3.  C(1,1)                        0.00102      0.00013      7.73581  0.00000000
4.  C(2,1)                        0.00066      0.00019      3.54879  0.00038700
5.  C(2,2)                        0.00079      0.00012      6.50627  0.00000000
6.  A(1,1)                        0.05000      1.72421      0.02900  0.97686553
7.  A(1,2)                        0.05000      2.10118      0.02380  0.98101525
8.  A(2,1)                        0.05000      0.86017      0.05813  0.95364674
9.  A(2,2)                        0.05000      1.30620      0.03828  0.96946517
10. B(1,1)                        0.05000      1.64246      0.03044  0.97571445
11. B(1,2)                        0.05000      1.91498      0.02611  0.97916968
12. B(2,1)                        0.05000      1.61198      0.03102  0.97525544
13. B(2,2)                        0.05000      1.87957      0.02660  0.97877729
14. D(1,1)                        0.00000  86182.73022      0.00000  1.00000000
15. D(1,2)                        0.00000  70233.54751      0.00000  1.00000000
16. D(2,1)                        0.00000  31689.71694      0.00000  1.00000000
17. D(2,2)                        0.00000   4044.55077      0.00000  1.00000000
18. Shape                         5.00000      2.23938      2.23276  0.02556462

渴望寻求论坛上的前辈们指点！谢谢！！