Conditionally-uniform Feasible Grid Search Algorithm

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.

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Year of publication:	2012-01-25
Authors:	Dziubinski, Matt P.
Institutions:	School of Economics and Management, University of Aarhus
Subject:	Constrained optimization \| GARCH \| infeasibility \| inference under constraints \| nonlinear programming \| performance of numerical algorithms \| SCGARCH \| sequential quadratic programming

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Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	1 pages long
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; c58 ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques ; C88 - Other Computer Software
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009421016