我带入两种日收益率数据,用xlsread做成矩阵,然后调用full_bekk_nvgarch(NUM,1,1),结果出来如下,怎么回事是??并没有outputs里的我要的HT协方差举证啊(因为我要求套保比率),到底是怎么回事?
求解答,其它帖子里还有20个论坛币,解决的话可以奉上全部~~~
[attach]1761832[/attach][attach]1761833[/attach]
>> full_bekk_mvgarch(NUM,1,1)
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Diagnostic Information
Number of variables: 5
Functions
Objective: scalar_bekk_mvgarch_likelihood
Gradient: finite-differencing
Hessian: finite-differencing (or Quasi-Newton)
Algorithm selected
medium-scale: Quasi-Newton line search
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
End diagnostic information
Gradient's
Iteration Func-count f(x) Step-size infinity-norm
0 6 1457.45 6.69e+003
1 30 1451.35 2.59541e-007 1.31e+003
2 36 1450.36 1 1.17e+003
3 42 1445.34 1 700
4 48 1445.12 1 433
Optimization terminated: relative infinity-norm of gradient less than options.TolFun.
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Diagnostic Information
Number of variables: 11
Functions
Objective: full_bekk_mvgarch_likelihood
Gradient: finite-differencing
Hessian: finite-differencing (or Quasi-Newton)
Algorithm selected
medium-scale: Quasi-Newton line search
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
End diagnostic information
Gradient's
Iteration Func-count f(x) Step-size infinity-norm
0 12 1445.12 4.61e+003
1 84 1444.69 1.12156e-008 905
Optimization cannot make further progress:
relative change in x less than options.TolX.
ans =
0.1777
0.1670
0.0356
0.0956
0.0000
-0.0000
0.0956
0.9868
0.0001
-0.0000
0.9869