using"filter" - error message for inputs 'Y0'

1 次查看（过去 30 天）
Sandro Bianchini
Sandro Bianchini 2016-7-12
评论： Hang Qian 2016-8-19
Hello,
I am using the function filter to estimate portfolio returns. I get the following message when the code has to execute the function filter:
" 'Y0' is not a recognized parameter. For a list of valid name-value pair arguments, see the documentation for this function."
the code is the following:
portfolioReturns = filter(fit, bootstrappedResiduals,'V0', preSigma, 'Y0', preReturn, 'Z0', preResidual);
I have estimated a garch model with "estimate" at the beginning of the code.
Why do I get this type of error if in the documentation the input 'Y0' is reported. If I remove that input, all else equal, I get no error.
Any help?
Thanks
  5 个评论
显示 3更早的评论
Sandro Bianchini
Sandro Bianchini 2016-7-13
http://it.mathworks.com/help/econ/examples/using-bootstrapping-and-filtered-historical-simulation-to-evaluate-market-risk.html
If you scroll down to this page you can see that filter takes also 'Y0' as input.
The code used in the linked page is what I am trying to reply.
Adam
Adam 2016-7-13
编辑：Adam 2016-7-13
Looking at the help page of the actual function:
http://uk.mathworks.com/help/econ/cvm.filter.html#namevaluepairarguments
'Y0' is not listed as a valid argument so I assume the example you are looking at is outdated.
I don't have the Econometrics Toolbox myself so I can't really judge any further what is going on beyond that.

请先登录，再进行评论。

请先登录，再回答此问题。

回答（2 个）

Hang Qian
Hang Qian 2016-8-19
The filter method of GARCH does have a name-value pair Y0. The demo runs smoothly on my computer. If it generates that error, I guess that the FILTER function might be altered, say someone wants to customize the codes and overloads the internal function.
- Hang Qian
Walter Roberson
Walter Roberson 2016-8-19
The filter method of GARCH does not have a name-value pair for Y0. The filter method of arima does have a name-value pair for Y0
  1 个评论
Hang Qian
Hang Qian 2016-8-19
Oh yes, you are right. The model constructed in the demo is an ARIMA model with an EGARCH variance. So it has the name-value pair Y0. It should work in all versions of MATLAB as long as ARIMA functionalities were born.

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

产品

Community Treasure Hunt

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

Start Hunting!

Translated by