Reply by liu_nyc July 7, 20032003-07-07
I'm using the garchfit function in the GARCH tool box to estimate an
ARMA(1,1) model. It doesn't work so well. The constrained
optimization routine called by garchfit() seems to violate the
constraints( that the coeff's are less than one in absolute value ),
and as a result, the parameter estimates are outside the stationary
range sometimes. I wonder if anyone knows a better routine for this
purpose. Many thanks!