Maximum likelihood Garch with fmincon

5 次查看（过去 30 天）
Karim Hasouna
Karim Hasouna 2020-7-11
评论： Matt J 2020-7-11
Guys,
I am working to create a model Garch with the implementation of another exogenous variable; but I have some problem with the function fmincon
I have a log_lk_GARCH11VIX function with y data.
theta = [0.1;0.3;0.2;0.4];
lb = [0;
0
0
0];
ub = [100;
0.999999
0.999999
0.999999];
%too many input
[x,fval,exitflag,output,labda,grad,hessian] = fmincon('log_lk_GARCH11VIX',theta,[],[],[],[],lb,ub)
this is the error:
Error using barrier
Objective function is undefined at initial point. Fmincon cannot continue.
Error in fmincon (line 834)
[X,FVAL,EXITFLAG,OUTPUT,LAMBDA,GRAD,HESSIAN] =
barrier(funfcn,X,A,B,Aeq,Beq,l,u,confcn,options.HessFcn, ...
Error in esti (line 16)
[x,fval,exitflag,output,labda,grad,hessian] =
fmincon('log_lk_GARCH11VIX',theta,[],[],[],[],lb,ub)

请先登录，再回答此问题。

回答（1 个）

Matt J
Matt J 2020-7-11
Check log_lk_GARCH11VIX(theta). It is returning a bad value.
  3 个评论
显示 1更早的评论
Karim Hasouna
Karim Hasouna 2020-7-11
I think there is a mistake in the fmincon input/outputs.
I don't know where.
Matt J
Matt J 2020-7-11
I suppose everything is okay here.
Why? The error message has told you that the objective function returns a bad value at
theta = [0.1;0.3;0.2;0.4];
Did you check the output when this particular theta is given?

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