dcc_hessian.m

利用matlab软件进行程序设计的GARCH以及多元GARCH模型的源程序工具箱。

    function H = dcc_hessian(f,x,N,varargin)
% PURPOSE:
%     Special purpose hessian for use with dcc std errors
% 
% USAGE:
%          H = dcc_hessian(func,x,N,varargin)
% 
% 
% INPUTS:
%          f = function name, feval = func(x,varargin)
%          x = vector of parameters (n x 1)
%          N = the last N rows to be completed
%          varargin = optional arguments passed to the function
% 
% OUTPUTS:
%            H = the N last rows of the hessian
%            used to speed up dcc_garch
% 
% COMMENTS:
% 
% 
% Author: Kevin Sheppard
% [e-mail]
% Revision: 2    Date: 12/31/2001






% Code modified from:
% COMPECON toolbox [www4.ncsu.edu/~pfackler]
% by James P. LeSage, Dept of Economics
% University of Toledo
% 2801 W. Bancroft St,
% Toledo, OH 43606
% [e-mail]

%   Copyright (c) Kevin Sheppard.
%   $Revision: 1.0 $  $Date: 2001/04/19 $


n = size(x,1);
fx = feval(f,x,varargin{:});
 
% Compute the stepsize (h)
h = eps.^(1/3)*max(abs(x),1);
xh = x+h;
h = xh-x;    
ee = sparse(1:n,1:n,h,n,n);
 
% Compute forward step 
g = zeros(n,1);
for i=1:n
  g(i) = feval(f,x+ee(:,i),varargin{:});
end
   
H=h*h';
% Compute "double" forward step 
index=1;
for i=1:n
for j=(n-N+1):n
    fprintf('Evaluating Function %d out of %d\n',index,n*N);
  if i<=j;
      H(i,j) = (feval(f,x+ee(:,i)+ee(:,j),varargin{:})-g(i)-g(j)+fx)/H(i,j);
      H(j,i) = H(i,j);
  end
  index=index+1;
end
end

newH=H((n-N+1):n,:);
H=newH;