Conditionally-uniform Feasible Grid Search Algorithm
Matt P. Dziubinski · RePEc: Research Papers in Economics · 2012
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.