using"filter" - error message for inputs 'Y0'
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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
回答(2 个)
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
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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
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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