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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- Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004.
"Option Valuation with Long-run and Short-run Volatility Components,"
CIRANO Working Papers
- 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.
- Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008. "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers 2008-11, School of Economics and Management, University of Aarhus.
- 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.
- 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.
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