Estimating GARCH parameters using fmincon
2 Ansichten (letzte 30 Tage)
Ältere Kommentare anzeigen
Hi,
I am using the following code to estimate the garch parameters. However I get the following message:
fmincon stopped because it exceeded the function evaluation limit, options.MaxFunEvals = 300 (the default value).
I have increased the value, but am getting the same message?!?!
-------------------------------------------------------------------
par0 = [0.00001,0.09,0.89];
A = [0,1,1];
b = 1;
[par,fval] = fmincon(@GarchParameters,par0,A,b,[],[],[0,0,0],[]);
--------------------------------------------------------------
function LLF = GarchParameters(par)
data = xlsread('FTSEPrices.xlsx');
Prices = data;
T = length(Prices);
LogReturns = zeros(T-1,1);
for i = 1:T-1
LogReturns(i) = log(Prices(i+1)/Prices(i));
end
AverLogReturns = mean(LogReturns);
ErrorTermSquared = (LogReturns - AverLogReturns).^2;
AverageErrorTermSquared = mean(ErrorTermSquared);
ConditionalVariance = zeros(T,1);
ConditionalVariance(1) = par(1)+par(2)*AverageErrorTermSquared + par(3)
*AverageErrorTermSquared;
for i = 2:T
ConditionalVariance(i) = par(1) + par(2)*ErrorTermSquared(i-1) + par(3)
*ConditionalVariance(i-1);
end
ConditionalVariance = ConditionalVariance(2:end);
LLF = 0.5*sum(log(ConditionalVariance))+0.5*(sum(ErrorTermSquared.
/ConditionalVariance));
--------------------------------------------------------------------
Please help
Thanks Jen
0 Kommentare
Antworten (0)
Siehe auch
Kategorien
Mehr zu Conditional Variance Models finden Sie in Help Center und File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!