please help with the errror

1 次查看（过去 30 天）
dav
dav 2014-5-27
评论： James Kristoff 2014-5-27
Hi I am trying to run the following program but it doesnt identify the function and gives me an error. can someone please help me with it?
code:
clc;
clear;
T = 300;
a0 = 0.1; a1 = 0.4; a2 = 0.0; b1 = 0.2; b2= 0.0; % garch parameters
epsi = randn(T+2000,1);
ut = zeros(T+2000,1); % garch data
sig2 = zeros(T+2000,1); % sigma squared in garch model
unvar = a0/(1-a1-a2-b1-b2); % unvar is the unconditional variance.. initial condition
for i = 1:T+2000
if i==1
sig2(i) = a0 + a1*unvar + a2*unvar + b1*unvar + b2*unvar;
sig =(sig2(i))^0.5;
ut(i) = epsi(i) * sig;
elseif i==2
sig2(i) = a0 + a1*(ut(1))^2 + a2*unvar + b1*sig2(1)+ b2*unvar;
sig =(sig2(i))^0.5;
ut(i) = epsi(i) * sig;
else
sig2(i) = a0 + a1*(ut(i-1))^2 + a2*(ut(i-2))^2 + b1*(sig2(i-1)) + b2*(sig2(i-2));
sig=(sig2(i))^0.5;
ut(i) = epsi(i) * sig;
end
end
utl = ut(2001:T+2000);
model1 = garch('Offset',NaN,'GARCHLags',1,'ARCHLags',1);
[fit1,~,LogL1] = estimate(model1,utl);
error:
Undefined function 'garch' for input arguments of type 'char'.
Error in test (line 32)
model1 = garch('Offset',NaN,'GARCHLags',1,'ARCHLags',1);

请先登录，再回答此问题。

回答（1 个）

James Kristoff
James Kristoff 2014-5-27
As Star Strider stated, the command garch is part of the Econometrics Toolbox. If you want to find out if you have this toolbox installed, you can use the ver command.
You can also use the which command to find out if a command is on the MATLAB path e.g.
which -all plot
will list the locations of all plot functions on the MATLAB path.
  1 个评论
James Kristoff
James Kristoff 2014-5-27
You can install the toolbox if it is on your license, or if you buy it. I am sure that you could do the math to "estimate the orders of p and q of a garch data set" without this function, but you would have to look up the related equations and implement them yourself in MATLAB. I do not know enough about this application to help implement the function by hand.

请先登录，再进行评论。

类别

在 Help Center 和 File Exchange 中查找有关 Conditional Variance Models 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by