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Topic: Estimating GARCH model parameters for a specified model structure
Replies: 2   Last Post: Jan 31, 2013 12:31 AM

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Phil Goddard

Posts: 358
Registered: 1/27/12
Re: Estimating GARCH model parameters for a specified model structure
Posted: Jan 31, 2013 12:31 AM
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Have a look at using the Equality Constraint Parameters, which are optional inputs to the garchset function.

Using these parameters allows you to force the optimization to keep some of the model parameters (that you specify) constant (in your case 0).

I think there's an example of using them in the doc although I can't find a link for you.


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