MFE Toolbox Kevin Sheppard Installation Problem

Dear All,

I am having hard time in running MFE Toolbox for GARCH by Kevin Sheppard. Every time I launch my code I get an error message like that attached. It seems that there should be an installment problem. The SAME file, with the same dataset and code works perfectly on another PC of mine with MATLAB R2021a.

It looks like does not read or misinterpret some internal command.

How can I solve this problem ?

Thanks

Max Marzo

Answer 1

[Steven Lord]

From the error message it looks like that function is using a syntax for fmincon that has been discouraged for several years (and has no longer been documented for about that long.) That older syntax has a consequence that the additional parameters are passed to all the functions (objective, nonlinear constraint, and any functions in the options structure) you pass into fmincon even if those functions don't need or want them.

You could ask the author to update the syntax with which they call fmincon to use the recommended approaches for passing additional parameters.

Depending on what you're trying to do with that toolbox, another possibility is to use Econometrics Toolbox (assuming it has all the capabilities that you're using from this MFE toolbox.)

You haven't shown a whole lot of your code, but perhaps you're specifying the wrong parameter values for one of the options that you pass into fmincon.

Answer 2

[Massimiliano Marzo]

Dear Steven,

thank you for your fast and precise answer. I essentially calling a routing from MFE Toolbox by Kevin Sheppard. I attach the m-files calling the dcc routing. The fmincon is called at line 368, which I report here:

parameters = fmincon(@dcc_likelihood,startingVals,A,b,[],[],LB,UB,[],options,stdData,stdDataAsym,m,l,n,R,N,backCast,backCastAsym,3,composite,isJoint,isInference);

My code is simply:

[parameters,loglikelihood,SIGMA_1,scores,diagnostics]= dcc(demret,[],1,0,1);

where I call the dcc routine, previously attached.

In any case, I attach here two excel files with data and my script starting.

Thank you so much for your help !!!

Max