hw.zip_MATLAB garch_Realized GARCH_garch_zip

clear all; clc cd ('C:\Users\surface\Desktop\MATLAB\hw') %指定工作路径 data = xlsread('data.xls'); %导入数据，没有表头 options = optimoptions('fminunc','OptimalityTolerance',1e-20,'StepTolerance',1e-20); format long; %% 第一问 x = data(:,3); %第三列是我们要的x，长度为4601 b1 = [ 0.1;0.3;0.3;0.2]; %初始值 [para1,ll1,flag1] = fminunc(@(b) f1(b,x),b1,options) % [x,fval,exitflag,output,grad,hessian] %% 第二问 r = data(:,2); %第二列是我们要的r，长度为4601 b2 = [0.0000013;0.09;0.9];%跑出来稳健了，在这个值附近ll不会变化很大，调整初始值 %虽然会让para的估计改变，但是也让ll升高了 global h2; [para,ll,flag] = fminunc(@(b) f2(b,r),b2,options) % [x,fval,exitflag,output,grad,hessian] ll = -ll plot(h2) %记得添加标题啥的 %% 第三问 global h3; b3 = [-0.25;0.59;0.36;-0.06;1.01;-0.09;0.13;0.54]; [para,ll,flag] = fminunc(@(b) f3(b,r,x),b3,options) % [x,fval,exitflag,output,grad,hessian] ll = -ll z = r./(h3.^(0.5)); u = (log(x)-para(4)-para(5)*log(h3)-para(6)*z-para(7)*((z.^2)-1))/para(8); plot(z); plot(log(h3)); plot(u); mean(z) mean(u) mean(log(h3)) std(z) std(u) std(log(h3)) corrcoef(z,u) corrcoef(z,log(h3)) corrcoef(u,log(h3)) a = [z u log(h3)]; corrcoef(a) mean(a) std(a)