using"filter" - error message for inputs 'Y0'

Hello,

I am using the function filter to estimate portfolio returns. I get the following message when the code has to execute the function filter:

" 'Y0' is not a recognized parameter. For a list of valid name-value pair arguments, see the documentation for this function."

the code is the following:

 portfolioReturns = filter(fit, bootstrappedResiduals,'V0', preSigma, 'Y0', preReturn, 'Z0', preResidual);

I have estimated a garch model with "estimate" at the beginning of the code.

Why do I get this type of error if in the documentation the input 'Y0' is reported. If I remove that input, all else equal, I get no error.

Any help?

Thanks

[Robert Fennis]

Try changing the code like this:

[A, B, C] = filter(fit, bootstrappedResiduals,'V0', preSigma, 'Y0', preReturn, 'Z0', preResidual);

I believe matlab doesn't understand which filter function it ought to use because of the variable you are putting it it.

[Sandro Bianchini]

Hello Robert,

thanks for your reply. I have tried what you have suggested, writing the code as the following one :

[~, ~, portfolioReturns] = filter(fit, bootstrappedResiduals,'V0', preSigma, 'Y0', preReturn, 'Z0', preResidual);

but it gives me an error of "Too many output arguments" .

If I remove one output "~,", it gives the same error "'Y0' is not a recognized parameter. For a list of valid name-value pair arguments, see the documentation for this function."

[Adam]

Which 'filter' function are you trying to use here?

I don't see anywhere in

doc filter

where 'Y0' is a valid argument though maybe I am just missing it.

[Sandro Bianchini]

http://it.mathworks.com/help/econ/examples/using-bootstrapping-and-filtered-historical-simulation-to-evaluate-market-risk.html

If you scroll down to this page you can see that filter takes also 'Y0' as input.

The code used in the linked page is what I am trying to reply.

[Adam]

Looking at the help page of the actual function:

http://uk.mathworks.com/help/econ/cvm.filter.html#namevaluepairarguments

'Y0' is not listed as a valid argument so I assume the example you are looking at is outdated.

I don't have the Econometrics Toolbox myself so I can't really judge any further what is going on beyond that.

Answer 1

[Hang Qian]

The filter method of GARCH does have a name-value pair Y0. The demo runs smoothly on my computer. If it generates that error, I guess that the FILTER function might be altered, say someone wants to customize the codes and overloads the internal function.

- Hang Qian

Answer 2

[Walter Roberson]

The filter method of GARCH does not have a name-value pair for Y0. The filter method of arima does have a name-value pair for Y0

[Hang Qian]

Oh yes, you are right. The model constructed in the demo is an ARIMA model with an EGARCH variance. So it has the name-value pair Y0. It should work in all versions of MATLAB as long as ARIMA functionalities were born.