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Imposing constraints on garch parameters with ugarchfit
2 messages · George Jordan, Alexios Ghalanos
See the 'setbounds' method, or search the archives of this mailing list for examples as this question has been asked before. Regards, Alexios
On 2 Aug 2013, at 10:13 PM, George Jordan <george.c.jordan.iv.research at gmail.com> wrote:
Hi,
Is it possible to impose constraints on the fitted parameters using
ugarchfit, (or other fitting procedure available in the rugarch)? For
example suppose I want to run:
myspec=ugarchspec(variance.model=list(garchOrder(c(1,1),
variance.targeting=TRUE),
distribution.model="std",
fixed.pars=list(shape=4),
mean.model=list(armaOrder=c(0,0)))
gfit=ugarchfit(spec=myspec, data=mydata, solver="nlminb")
But somehow impose that 0 < \alpha < 0.2 and 0.5 < \beta < 1.0 (where
\alpha and \beta have their usual definitions).
Thanks in advance,
George
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