Defined variable erroring as undefined?

Problem:

The variable INDI is defined (checked by which search) but GJR_GARCH function still rejects it as undefined. Why?

Error:

>> GJR_GARCH
Warning: Variable names were modified to make them valid MATLAB identifiers. The original names are saved in the
VariableDescriptions property. 
Undefined function or variable 'INDI'.

Error in GJR_GARCH>gloglike (line 68)
    h(t) = a0+a1*eps(t-1)^2 + b1*h(t-1) + c0*INDI*eps(t-1)^2;

Error in fmincon (line 536)
      initVals.f = feval(funfcn{3},X,varargin{:});

Error in GJR_GARCH (line 28)
gpar = fmincon(@gloglike,initial,sumA ,sumB,[],[],[],[],[],options,XJO_r);

Caused by:
    Failure in initial objective function evaluation. FMINCON cannot continue.

Code:

function[] = garch_est()

%===================================================================
% Construct GJR_GARCH Model
%===================================================================

% read in data
formatSpec = '%s %f';
XJO = readtable('AXJO.csv','Format',formatSpec,'ReadVariableNames',true);

% calculate returns
XJO_p = XJO.AdjClose;
XJO_r = log(XJO_p(2:end)./XJO_p(1:end-1));
INDI = (XJO_r<0);

% set initial parameter estimates for optimisation
initial = [var(XJO_r)*(1-0.08-0.85-0.03);0.08;0.85;0.03];

% set constraints
sumA = [-eye(4); 0 1 1 0.5];
sumB = [-1e-9;-1e-6;-1e-6;-1e-6;0.9999];

% set options
options = optimset('Display', 'iter', 'largescale', 'off',...
    'TolFun', 1e-007,'MaxIter',1000,'MaxFunEvals',1000);

% define objective function
gpar = fmincon(@gloglike,initial,sumA ,sumB,[],[],[],[],[],options,XJO_r);

% generate conditional variances
nobs = length(XJO_r);
cvar = zeros(nobs,1);
cvar(1) = gpar(1)/(1 - gpar(2) - gpar(3) - gpar(4));
for t = 2:nobs
    cvar(t) = gpar(1) + gpar(2)*XJO_r(t-1)^2 + gpar(3)*cvar(t-1) + gpar(4)*INDI*XJO_r(t-1)^2;
end

pVaR = [.05];
Zscore = norminv(pVaR);
Sigma = sqrt(cvar);
Normal95 = zeros(nobs,1);
for t = 1:nobs
    Normal95(t) = -Zscore*Sigma(t);
end

plot(Normal95)

end

%===================================================================
% Function for GJR_GARCH loglike
%===================================================================

function [loglike] = gloglike(initial,eps)

% estimates
a0 = initial(1);
a1 = initial(2);
b1 = initial(3);
c0 = initial(4);

n = length(eps);
h = zeros(n,1);
h(1) = a0/(1 - a1 - b1 - c0);

for t = 2:n
    h(t) = a0+a1*eps(t-1)^2 + b1*h(t-1) + c0*INDI*eps(t-1)^2;
end

% Max-Loglike function and sum of
logl = - .5*log(h) - .5*eps.^2./h -.5*log(2*pi);
loglike = -sum(logl);

end

[Stephen23]

"Why?"

Because in MATLAB variables do not just magically jump from one workspace to another. You have to pass them explicitly:

https://www.mathworks.com/help/matlab/matlab_prog/share-data-between-workspaces.html

As Walter Roberson suggested, using a nested function would be a good idea:

https://www.mathworks.com/help/matlab/matlab_prog/nested-functions.html

[Geoffrey Turner]

Oh, nesting functions - of course. Thank you!

Answer 1

[Walter Roberson]

INDI is defined in function garch_est, but the value for it is not passed into gloglike() . gloglike is not a nested function within garch_est so it does not share variables with garch_est .

Simplest solution: take the "end" that is after plot(Normal95) and move that "end" to after the "end" for gloglike -- so the file would have no "end" just before the function declaration for gloglike, and would have two "end" statements at the bottom of it. That would make gloglike() a nested function that would be able to share variables with garch_est()

[Geoffrey Turner]

This is beautiful. Thank you!