Arrary indices must be positive integers or logical values

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Thukten Tashi
Thukten Tashi 2021-3-13
评论： Thukten Tashi 2021-4-3
for t=TestWindow
i=t-TestWindowStart+1;
EstimationWindow=t-EstimationWindowSize:t-1;
Sigma=std(Returns(EstimationWindow));
Normal95(i)=-Zscore(1)*Sigma;
Normal99(i)=-zscore(2)*Sigma;
end
Array indices must be positive integers or logical values.

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回答（1 个）

Cris LaPierre
Cris LaPierre 2021-3-13
One of your indices is <= 0. You haven't shared enough information for us to say exactly what the problem is.
See Ch 5 of MATLAB Onrmap to learn how to properly index an array.
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Thukten Tashi
Thukten Tashi 2021-4-3
I have calculated VaR using exponential weight moving average. The figure for first failire under EWMA at 95% confidence level appears as '1'. I thougth that this value should be 77 instead. I am not sure which one is correct. I have used the following steps.
Lambda = 0.94;
Sigma2 = zeros(length(Returns),1);
Sigma2(1) = Returns(1)^2;
for i = 2 : (TestWindowStart-1)
Sigma2(i) = (1-Lambda) * Returns(i-1)^2 + Lambda * Sigma2(i-1);
end
Zscore = norminv(pVaR);
EWMA95 = zeros(length(TestWindow),1);
EWMA99 = zeros(length(TestWindow),1);
for t = TestWindow
k = t - TestWindowStart + 1;
Sigma2(t) = (1-Lambda) * Returns(t-1)^2 + Lambda * Sigma2(t-1);
Sigma = sqrt(Sigma2(t));
EWMA95(k) = -Zscore(1)*Sigma;
EWMA99(k) = -Zscore(2)*Sigma;
end

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