Good day,
Here I was trying to write a code for Garch(1,1)
. As garch problem is more or less an optimization
problem I also tried to get the algorithm for nlminb
function. What I saw that if use this function
'nlminb I can easyly get the estimate of parameters.
But any other function is not
Optimizing GARCH likelihoods is notoriously difficult.
I suspect that you will find 'nlminb' to be less than perfect,
though it is relatively good. In particular you are likely
to see different behavior depending on whether or not the
data are in percent.
A reference is Winker and Maringer (2006)
