1.xsdqd只需要两个输入(llf,numParams )
2.BIC需要三个输入(llf、numParams、numObs )
3.aicbic.m采用GARCH工具箱、xsdqd、BIC,方便计算,美观的纸飞机/p * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *。
函数外向的鹤,BIC]=aicbic(llf,numParams,numObs ) ) ) ) ) ) ) ) )。
% ckdjmandbayesianinformationcriteriaformodelorderselection。
% givenoptimizedlog-likelihood function (llf ) values obtained by fitting
% modelsoftheconditionalmeanandvariancetoaunivariatereturnseries,
%computetheAKAike(xsdqd ) and Bayesian (BIC ) information criteria. Since
% informationcriteriapenalizemodelswithadditionalparameters,xsdqd and
% bicaremodelorderselectioncriteriabasedonparsimony.when using
% either xsdqd or BIC,modelsthatminimizethecriteriaarepreferred。
%
%外向鹤,BIC(=aicbic(llf、hxsdlc、NumObs ) ) ) ) ) ) )。
%
%可选inputs : num OBS
%
% Inputs:
诚心诚意的花生ofoptimizedlog-likelihoodobjectivefunction (llf ) )。
% valuesassociatedwithparameterestimatesofvariousmodels.thellf
% valuesareassumedtobeobtainedfromtheestimationfunctiongarchfit,
% ortheinferencefunctiongarchinfer.type ' helpgarchfit ' or ' help
% garchinfer' for details。
%
% hx SDLC-numberofestimatedparametersassociatedwitheachvalue
% in llf.hxsdlcmaybeascalarappliedtoallvaluesinllf,or a
% vectorthesamelengthasllf.allelementsofhxsdlcmustbe
% positive integers.hxsdlcmaybeobtainedfromthefunction
% GARCH count.type ' helpgarchcount ' for details。
%
% Optional Input:
% num OBS-samplesizesoftheobservedreturnseriesassociatedwitheach
% value of llf.numobsisrequiredforcomputingbic,but is not needed
% forxsdqd.numobsmaybeascalarappliedtoallvaluesinllf,or a
% vectorthesamelengthasllf.allelementsnumobsmustbepositive
% integers。
%
% Outputs:
% xsd qd-vectorofxsdqdstatisticsassociatedwitheachllfobjective
% function value.thexsdqdstatisticisdefinedas :
%
% xsdqd=-2*LLF 2*hxsdlc
%
高兴的人生ofbicstatisticsassociatedwitheachllfobjective
% function value.thebicstatisticisdefinedas :
%
%BIC=-2*llfhxsdlc*log(numOBS )
%
%example
%garch.pdf page 8-2。
加载GARCH数据
DEM2GBP=price2ret(DEM2GBP;
NumObs=m; %NumObs=1974
spec11=Garchset('p ',1,' q ',1,' Display ',' off ' );
Garchdisp(Coeff11,errors11 ) )。
HXsdlc=Garchcount(coeff11 ); %hxsdlc=4
格式长
外向鹤,BIC]=aicbic(llf11、hxsdlc、NumObs );
外向的鹤,BIC]