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! |
ARMA filter
Started by ●July 7, 2003