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!
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