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fmincon-Getting error Unable to perform assignment because dot indexing is not supported for variables of this type

Asked by Diego Tintori on 16 Nov 2019 at 21:40
Latest activity Commented on by Walter Roberson
on 18 Nov 2019 at 4:01
k=garchFunction(u)
u=[0 0 0]
A=[0 1 1]
b=1
Aeq=[]
beq=[]
lb=[0 0 0]
up=[1 1 1]
[x,fval]=fminunc(@garchFunction,u,A,b,Aeq,beq,lb,up)
function y = garchFunction(x) %function for likelihood
Values1814=xlsread('C:\Users\pc\OneDrive - stud.unifi.it\Desktop\Econometrix\CAC40(2014-2018).csv','E2:E1024')
Values=Values1814/(10^6)
returns=tick2ret(Values)
returns=returns-mean(returns)
T=length(returns)
omega=x(1);
alpha=x(2);
beta=x(3);
sigma=zeros(T,1)
sigma(1)=0.011207749644594;
likelihood=0
for i=2:T;
sigma(i) = sqrt( omega + alpha*returns(i-1)^2 + beta*sigma(i-1)^2 );
likelihood = likelihood + 0.5*(-log(2*pi)-log(sigma(i)^2) - (returns(i)/sigma(i))^2);
end
y = -likelihood;
end
I have this function for the estimation of the maximum likelihood for garch. However, although it estimats perfectly the likelihood, once I want to minimize it trough the function fmincon i get the error shown in the Title. Can someone help me understand what is wrong? Thanks.

  12 Comments

The code calls fminunc but you write fmincon repeatedly. The difference could be important to reproducing the problem.
I'm really sorry, the function was indeed fmincon and I coded fminunc, that's why it didn't run.
Thank you!
To confirm, with fmincon in place the problem disappears?

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