Dear r-sig-finance members,

 

I’m trying to do an alternative optimization for the calculation of GARCH
and would like to compare it to the standard optimization-tool of the
GARCH-Toolbox, which is “fmincon” .

To be able to do this I first will have to use the same constraints as
“fmincon” does.

 

For this reason I would like to ask if anyone knows what “fmincon” does if
the restriction that the sum of alphas and betas must be smaller than one
gets violated?

Does it set all alphas and betas by a percentage change to values that are
smaller one or does it just set one change one value so that the sum gets
smaller one?

 

 

Thanks in advance for your help!!!

 


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