Department of Economics and Business Economics

Conditionally-uniform Feasible Grid Search Algorithm

Research output: Working paperResearch

Documents

  • Rp12 03

    Submitted manuscript, 319 KB, PDF document

  • Matt P. Dziubinski, Denmark
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 Simplied Component GARCH Model (SCGARCH), together with algorithms for the objective function and analytical gradient computation for SCGARCH.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages18
Publication statusPublished - 26 Jan 2012

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