Maximum likelihood Garch with fmincon

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Karim Hasouna
Karim Hasouna on 11 Jul 2020
Commented: Matt J on 11 Jul 2020
Guys,
I am working to create a model Garch with the implementation of another exogenous variable; but I have some problem with the function fmincon
I have a log_lk_GARCH11VIX function with y data.
theta = [0.1;0.3;0.2;0.4];
lb = [0;
0
0
0];
ub = [100;
0.999999
0.999999
0.999999];
%too many input
[x,fval,exitflag,output,labda,grad,hessian] = fmincon('log_lk_GARCH11VIX',theta,[],[],[],[],lb,ub)
this is the error:
Error using barrier
Objective function is undefined at initial point. Fmincon cannot continue.
Error in fmincon (line 834)
[X,FVAL,EXITFLAG,OUTPUT,LAMBDA,GRAD,HESSIAN] =
barrier(funfcn,X,A,B,Aeq,Beq,l,u,confcn,options.HessFcn, ...
Error in esti (line 16)
[x,fval,exitflag,output,labda,grad,hessian] =
fmincon('log_lk_GARCH11VIX',theta,[],[],[],[],lb,ub)

Answers (1)

Matt J
Matt J on 11 Jul 2020
Check log_lk_GARCH11VIX(theta). It is returning a bad value.
  3 Comments
Matt J
Matt J on 11 Jul 2020
I suppose everything is okay here.
Why? The error message has told you that the objective function returns a bad value at
theta = [0.1;0.3;0.2;0.4];
Did you check the output when this particular theta is given?

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