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Conditionally-uniform Feasible Grid Search Algorithm

Author

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

Suggested Citation

  • Matt P. Dziubinski, 2012. "Conditionally-uniform Feasible Grid Search Algorithm," CREATES Research Papers 2012-03, Department of Economics and Business Economics, Aarhus University.
  • Handle: RePEc:aah:create:2012-03
    as

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    File URL: ftp://ftp.econ.au.dk/creates/rp/12/rp12_03.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. Matt P. Dziubinski, 2011. "Option valuation with the simplified component GARCH model," CREATES Research Papers 2011-09, Department of Economics and Business Economics, Aarhus University.
    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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software

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