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我正在尝试在 MATLAB 中制作 GARCH(1, 2) 模型，以便与 GARCH(1, 1)、GARCH(2, 2) 等进行简单比较。

当我运行下面的代码时，它会输出 GARCH(1, 1) 模型而不是 GARCH(1, 2) 模型。GARCH(1, 2) 模型不可能吗？

model = garch(1, 2); % (GARCH, ARCH)
[estMdl,EstParamCov1,logL] = estimate(model, logReturns);
condVar = infer(estMdl, logReturns);

打印出：

GARCH(1,1) Conditional Variance Model:
----------------------------------------    
Conditional Probability Distribution: Gaussian

                              Standard          t     
 Parameter       Value          Error       Statistic 
-----------   -----------   ------------   -----------
 Constant    1.17529e-06    4.7734e-07        2.46217
 GARCH{1}       0.704782     0.0317644        22.1878
  ARCH{1}       0.188829     0.0268778        7.02546
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1 回答 1

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执行模型拟合的优化器会删除（被认为是）完全为零的项。代码中有这样的注释：

%   o The coefficients GARCH and ARCH are each associated with an
%     underlying lag operator polynomial and subject to a near-zero 
%     tolerance exclusion test. That is, each coefficient is compared to 
%     the default zero tolerance 1e-12, and is included in the model only 
%     if the magnitude is greater than 1e-12; if the coefficient magnitude 
%     is less than or equal to 1e-12, then it is sufficiently close to zero 
%     and excluded from the model. See LagOp for additional details.
于 2017-09-04T19:08:11.683 回答