Optimizing the GARCH model -- an application of two global and two local search methods

DOI10.1007/s10614-006-9048-0zbMath1144.90462OpenAlexW1969606998MaRDI QIDQ862838

Kwami Adanu

Publication date: 24 January 2007

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-006-9048-0

zbMATH Keywords

GARCHgenetic algorithmglobal optimumdifferential evolutionQuasi-Newton algorithmSimplex method

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Linear programming (90C05) Methods of quasi-Newton type (90C53)

Related Items (1)

Parameter identifiability and estimation of HIV/AIDS dynamic models

Uses Software

• fminsearch
• GAToolBox

Cites Work

• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Comparison of genetic algorithms, random restart and two-opt switching for solving large location-allocation problems
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions

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