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

Question

Sandro Bianchini 2016-7-12

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/295180-using-filter-error-message-for-inputs-y0

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

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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 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'Y0' is not listed as a valid argument so I assume the example you are looking at is outdated.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.

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Answer 1

Hang Qian 2016-8-19

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https://ww2.mathworks.cn/matlabcentral/answers/295180-using-filter-error-message-for-inputs-y0#answer_232203

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

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Answer 2

Walter Roberson 2016-8-19

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https://ww2.mathworks.cn/matlabcentral/answers/295180-using-filter-error-message-for-inputs-y0#answer_232208

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

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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.

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