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Conditionally-uniform Feasible Grid Search Algorithm

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  • Matt P. Dziubinski

    ()
    (Aarhus University and CREATES)

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 Simplied Component GARCH Model (SCGARCH), together with algorithms for the objective function and analytical gradient computation for SCGARCH.

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File URL: ftp://ftp.econ.au.dk/creates/rp/12/rp12_03.pdf
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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2012-03.

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Length: 18
Date of creation: 25 Jan 2012
Date of revision:
Handle: RePEc:aah:create:2012-03

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Web page: http://www.econ.au.dk/afn/

Related research

Keywords: Constrained optimization; GARCH; infeasibility; inference under constraints; nonlinear programming; performance of numerical algorithms; SCGARCH; sequential quadratic programming;

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  1. Matt P. Dziubinski, 2011. "Option valuation with the simplified component GARCH model," CREATES Research Papers 2011-09, School of Economics and Management, University of Aarhus.
  2. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian, 2008. "Option valuation with long-run and short-run volatility components," Journal of Financial Economics, Elsevier, vol. 90(3), pages 272-297, December.
  3. Brooks, Chris & Burke, Simon P. & Persand, Gita, 2001. "Benchmarks and the accuracy of GARCH model estimation," International Journal of Forecasting, Elsevier, vol. 17(1), pages 45-56.
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