Conditionally-uniform Feasible Grid Search Algorithm

Matt Dziubinski

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: We present and evaluate a numerical optimization method (together with an algorithm for choosing the starting values) pertinent to the constrained optimization problem arising in the estimation of the GARCH models with inequality constraints, in particular the Simplified Component GARCH Model (SCGARCH), together with algorithms for the objective function and analytical gradient computation for SCGARCH.

Keywords: Constrained optimization; GARCH; infeasibility; inference under constraints; nonlinear programming; performance of numerical algorithms; SCGARCH; sequential quadratic programming (search for similar items in EconPapers)
JEL-codes: C32 C51 C58 C61 C63 C88 (search for similar items in EconPapers)
Pages: 18
Date: 2012-01-25
New Economics Papers: this item is included in nep-cmp, nep-ecm, nep-ets and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2012-03

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