matlab的GARCH模型模拟,GARCH模型在Matlab中的完成.doc

多元GARCH模型预测的Matlab程序

function [parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores] = full_bekk_mvgarch(data,p,q, BEKKoptions);

% PURPOSE:

% To Estimate a full BEKK multivariate GARCH model. %

%

% USAGE:

% [parameters, loglikelihood, Ht, likelihoods, stdresid, stderrors, A, B, scores] = full_bekk_mvgarch(data,p,q,options);

%

%

% INPUTS:

% data - A t by k matrix of zero mean residuals

% p - The lag length of the innovation process

% q - The lag length of the AR process

% options - (optional) Options for the optimization(fminunc)

%

% OUTPUTS:

% parameters - A (k*(k+1))/2+p*k^2+q*k^2 vector of estimated parameteters. F

% or any k^2 set of Innovation or AR parameters X,

% reshape(X,k,k) will give the correct matrix

% To recover C, use ivech(p