[R-SIG-Finance] Imposing constraints on garch parameters with ugarchfit

Alexios Ghalanos alexios at 4dscape.com
Sat Aug 3 01:12:03 CEST 2013


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
> 
>    [[alternative HTML version deleted]]
> 
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