I don't have access to that paper. 

Well, we are currently using the BHHH algo for our Garch(1,1) vols both intradays and daily. I am thinking of incorporating the Garch(p,q) with the LBFGS algo, because like you said, a simple google search mentioned LBFGS as a more stable algo. Nothing much was said about the BHHH. Just wanted your thoughts about it. I don't have any experience with these algos though. 



________________________________
From: Eric Zivot <ezivot@u.washington.edu>

Sent: Tue, March 23, 2010 1:01:13 AM
Subject: RE: [R-SIG-Finance] BHHH vs LBFGS

This is not an R finance question. A simple google search brought up the
following helpful paper

http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6V8V-3SX829Y-G&_us
er=582538&_coverDate=03%2F06%2F1998&_rdoc=1&_fmt=high&_orig=search&_sort=d&_
docanchor=&view=c&_searchStrId=1261826491&_rerunOrigin=google&_acct=C0000297
18&_version=1&_urlVersion=0&_userid=582538&md5=6de6878bc6c66e54110a2005b6370
63d



-----Original Message-----
From: r-sig-finance-bounces@stat.math.ethz.ch
[mailto:r-sig-finance-bounces@stat.math.ethz.ch] On Behalf Of Zany Z
Sent: Monday, March 22, 2010 8:31 AM
To: r-sig-finance@stat.math.ethz.ch
Subject: [R-SIG-Finance] BHHH vs LBFGS

Hi,

What is the difference between BHHH and LBFGS? Which is the better algorithm
for Garch(q,p)? I noticed in garchFit, there are algorithms 'nlminb',
'lbfgsb', 'nlminb+nm' & 'lbfgsb+nm'. Which one enables the BHHH algo or is
there another function for BHHH? 


Thanks in advance.


      
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