我想用matlab做DCC_GARCH模型,安装了jplv7软件包,是可以用的,可是出来的结果有问题,代码是这样编写的,
[DCC_parameters,DCC_LL,DCC_Ht]=dcc_mvgarch(data,1,1,1,1);
DCC_corr=squeeze(DCC_Ht(1,2,:))./(squeeze(sqrt(DCC_Ht(1,1,:))).*squeeze(sqrt(DCC_Ht(2,2,:))));
plot(DCC_corr)
结果
____________________________________________________________
Diagnostic Information
Number of variables: 2
Functions
Objective: dcc_mvgarch_likelihood
Gradient: finite-differencing
Hessian: finite-differencing (or Quasi-Newton)
Constraints
Nonlinear constraints: do not exist
Number of linear inequality constraints: 1
Number of linear equality constraints: 0
Number of lower bound constraints: 2
Number of upper bound constraints: 0
Algorithm selected
medium-scale: SQP, Quasi-Newton, line-search
____________________________________________________________
End diagnostic information
Max Line search Directional First-order
Iter F-count f(x) constraint steplength derivative optimality Procedure
0 3 1488.84 -0.009998
1 6 1486.34 5.351e-017 1 -60.8 318
Local minimum found that satisfies the constraints.
Optimization completed because the objective function is non-decreasing in
feasible directions, to within the selected value of the function tolerance,
and constraints were satisfied to within the selected value of the constraint tolerance.
<stopping criteria details>
Active inequalities (to within options.TolCon = 1e-006):
lower upper ineqlin ineqnonlin
1
2