[R-SIG-Finance] DEoptim MSGARCH

[Bastian Offermann]

Dear all,
there is a JSS paper on DEoptim including a Markov Switching GARCH 
example . Since the optimizer can only handle box constraints, how would 
the standard covariance stationarity condition alpha+beta < 1 in a 
simple GARCH(1,1) be included here?

My guess is sth like

foo = function(x) {

...

loglikelihood = ...

if(alpha+beta >= 1) loglikelihood = loglikelihood + penalty

}

Your input is appreciated. Thank you!