Hi everyone,
I try to estimate the parameters of a GJRGARCH model with DFPMIN, but have some problems with it. The calculation of the gradient is a problem. The first derivatives are a bit complicated.
Is there anyone who has a worked-out example of such an estimaton and is willing to share it withe me?
Or maybe someone knows of the existence of a work-out on the internet.
Thanks in advance.


Jan van der Peet