我已在
https://www.kevinsheppard.com/MFE_Toolbox#Last_Updated 下载了Kevin Sheppard开发的DCC-GARCH模型最新工具包MFE Toolbox
现在呢,我已准备好了“去均值化”(即均值为0)的11列矩阵数据,不过在运用“dcc.m”函数的时候,其显示错误为“错误使用 normloglink (Line 50)” - “sigma2 must contain only positive elements”
以及下面按引用顺序倒着回溯过去的错误提示:
出错 tarch_likelihood (line 70)
[LL, LLS] = normloglik(data,0,ht);
出错 robustvcv (line 60)
[LLFm(i),likem(:,i)]=feval(fun,thetamh,varargin{:});
出错 tarch (line 266)
[VCVrobust,A,~,scores,hess]=robustvcv('tarch_likelihood',parameters,nw,epsilon_augmented,fepsilon,fIepsilon,p,o,q,error_type,tarch_type,back_cast,T);
出错 dcc_fit_variance (line 52)
[parameters, ~, ht, ~, ~, scores, diagnostics] = tarch(data(:,i),p(i),o(i),q(i), [], gjrType(i), volStartingVals, univariteOptions);
出错 dcc (line 290)
[H,univariate] = dcc_fit_variance(data2d,p,o,q,gjrType,tarchStartingVals);
请问各位有遇到过这种问题吗?应该怎么解决呢?
多谢大神们不吝赐教!!:D