I am trying to fit a custom GARCH model by QMLE in R. I have written out the log likelihood function and am now working on optimizing it. However, choosing an optimization algorithm has proven to be difficult. I have tried the optimizers in the
optim package, but they seem unstable for this purpose. I have also tried to use the
Rsolnp package, which is the default in
rugarch, but since I would like to include an expression for the gradient in the function call, this is also unviable. Does anybody know which package I should look into? I need:
- Ability to provide upper and lower bounds for the parameters.
- Ability to provide a gradient function.
I recently came across a question on here where the asker tried to use the function fmincon from the package
pracma. Perhaps somebody knows if this could be advisable?