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  • 大小: 15KB
    文件類型: .m
    金幣: 1
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    發布日期: 2021-05-12
  • 語言: Matlab
  • 標簽: DCC??

資源簡介

專業的用來計算dcc的程序代碼,用MATLAB運行即可

資源截圖

代碼片段和文件信息

function?[parameters?ll?Ht?VCV?scores?diagnostics]=dcc(datadataAsymmlnpoqgjrTypemethodcompositestartingValsoptions)
%?Estimation?of?scalar?DCC(mn)?and?ADCC(mln)?multivarate?volatility?model?with?with?TARCH(poq)
%?or?GJRGARCH(poq)?conditional?variances
%
%?USAGE:
%??[PARAMETERS]?=?dcc(DATA[]MLN)
%??[PARAMETERSLLHTVCVSCORESDIAGNOSTICS]?=?dcc(DATADATAASYMMLNPOQ...
%????????????????????????????????????????????????????GJRTYPEMETHODCOMPOSITESTARTINGVALSOPTIONS)
%
%?INPUTS:
%???DATA?????????-?A?T?by?K?matrix?of?zero?mean?residuals?-OR-
%????????????????????K?by?K?by?T?array?of?covariance?estimators?(e.g.?realized?covariance)
%???DATAASYM?????-?[OPTIONAL]?K?by?K?by?T?array?of?asymmetric?covariance?estimators?only?needed?if
%????????????????????DATA?is?3-dimensional?and?O>0?or?L>0
%???M????????????-?Order?of?symmetric?innovations?in?DCC?model
%???L????????????-?Order?of?asymmetric?innovations?in?ADCC?model
%???N????????????-?Order?of?lagged?correlation?in?DCC?model
%???P????????????-?[OPTIONAL]?Positive?scalar?integer?representing?the?number?of?symmetric?innovations?in?the
%????????????????????univariate?volatility?models.??Can?also?be?a?K?by?1?vector?containing?the?lag?length
%????????????????????for?each?series.?Default?is?1.
%???O????????????-?[OPTIONAL]?Non-negative?scalar?integer?representing?the?number?of?asymmetric?innovations?in?the
%????????????????????univariate?volatility?models.??Can?also?be?a?K?by?1?vector?containing?the?lag?length
%????????????????????for?each?series.?Default?is?0.
%???Q????????????-?[OPTIONAL]?Non-negative?scalar?integer?representing?the?number?of?conditional?covariance?lags?in
%????????????????????the?univariate?volatility?models.??Can?also?be?a?K?by?1?vector?containing?the?lag?length
%????????????????????for?each?series.?Default?is?1.
%???GJRTYPE??????-?[OPTIONAL]?Either?1?(TARCH/AVGARCH)?or?2?(GJR-GARCH/GARCH/ARCH).?Can?also?be?a?K?by?1?vector
%????????????????????containing?the?model?type?for?each?for?each?series.?Default?is?2.
%???METHOD???????-?[OPTIONAL]?String?one?of?‘3-stage‘?(Default)?or?‘2-stage‘.??Determines?whether
%????????????????????the?model?is?estimated?using?the?3-stage?estimator?or?if?the?correlation?intercepts
%????????????????????are?jointly?estimated?along?with?the?dynamic?parameters.
%???COMPOSITE????-?[OPTIONAL]?String?value?either?‘None‘?(Default)?‘Diagonal‘?or?‘Full‘.??None
%????????????????????uses?standard?QMLE.??‘Diagonal‘?and?‘Full‘?both?uses?composite?likelihood?where
%????????????????????‘Diagonal‘?uses?all?pairs?of?the?form?ii+1?while?‘Full‘?uses?all?pairs.
%???STARTINGVALS?-?[OPTIONAL]?Vector?of?starting?values?to?use.??See?parameters?and?COMMENTS.
%???OPTIONS??????-?[OPTIONAL]?Options?to?use?in?the?model?optimization?(fmincon)
%
%?OUTPUTS:
%???PARAMETERS???-?Estimated?parameters.??Output?depends?on?METHOD.
%????????????????????3-stage:?[VOL(1)?...?VOL(K)?corr_vech(R)‘?vech(N)‘?alpha?gamma?beta]
%????????????????????2-stage:?[VOL(1)?...?

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