[SciPy-user] Using fmin
Moofle
mustafarahman23@gmail....
Wed Mar 25 16:48:12 CDT 2009
Dear All,
I am a beginner to python and scipy for that matter. I am trying to program
GARCH(1,1) and I am attempting to use fmin or fmin_powell to optimize the
equation : =
SUM(from i to N) [-ln(vi)-((ui**2)/(vi))] (where i is the index)
I am trying to get some hints as to how to answer this question:
1. vi is dependent on ui and the v before it (vi-1). It is defined by this
equation: vi = omega + alpha*ui-1 + beta*vi-1 (where omega, alpha, beta are the
parameters I need to optimize, i is the index)
I am not sure how to pass alpha, omega, beta into the fmin method. To be honest,
I am not even completely sure about how that method even works even though I
have looked at the documentation for hours. In particular, I dont know what the
args=() is used for!! I can solve this in excel using solver and AMPL, but I
sure would appreciate a few hints!!
Many Thanks.
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