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nonlinear constraints in GARCH estimation
2 messages · ShyhWeir Tzang, Alexios Ghalanos
You probably need a nonlinear constraints solver to do this. You can try Rsolnp (an Augmented Lagrange type solver) in the RINO project on r-forge which accepts both nonlinear equalities and inequalities, or the nlminb2 solver in the Rmetrics project. HTH, -Alexios
ShyhWeir Tzang wrote:
Dear R users: I am trying to estimate the parameters using MLE of a GARCH-family model with some constraints like this: a>=0, b>=0, and a+b*c^2<1, where a, b and c are parameters to be estimted. I tried to use maxLik package which has unequal constraints in matrix form: A*theta+B>=0, where theta is the paramters to be estimated. Parameters a and b can be easily set up, but I don't know how to set up the constraint a+b*c^2<1. Can anyone help me with this constraint? Thanks for help. ShyhWeir [[alternative HTML version deleted]]
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