[R-SIG-Finance] nonlinear constraints in GARCH estimation

[alexios]

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
> 
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