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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
##############################################################################
# FUNCTION: DESCRIPTION:
# garchFitControl Sets default values for Garch Optimizer
##############################################################################
garchFitControl <-
function(
llh = c("filter", "internal", "testing"),
nlminb.eval.max = 2000,
nlminb.iter.max = 1500,
nlminb.abs.tol = 1.0e-20,
nlminb.rel.tol = 1.0e-14,
nlminb.x.tol = 1.0e-14,
nlminb.step.min = 2.2e-14,
nlminb.scale = 1,
nlminb.fscale = FALSE,
nlminb.xscale = FALSE,
sqp.mit = 200,
sqp.mfv = 500,
sqp.met = 2,
sqp.mec = 2,
sqp.mer = 1,
sqp.mes = 4,
sqp.xmax = 1.0e3,
sqp.tolx = 1.0e-16,
sqp.tolc = 1.0e-6,
sqp.tolg = 1.0e-6,
sqp.told = 1.0e-6,
sqp.tols = 1.0e-4,
sqp.rpf = 1.0e-4,
lbfgsb.REPORT = 10,
lbfgsb.lmm = 20,
lbfgsb.pgtol = 1e-14,
lbfgsb.factr = 1,
lbfgsb.fnscale = FALSE,
lbfgsb.parscale = FALSE,
nm.ndeps = 1e-14,
nm.maxit = 10000,
nm.abstol = 1e-14,
nm.reltol = 1e-14,
nm.alpha = 1.0,
nm.beta = 0.5,
nm.gamma = 2.0,
nm.fnscale = FALSE,
nm.parscale = FALSE)
{
# A function implemented by Diethelm Wuertz
# Description:
# Sets default values for Garch Optimizer
# FUNCTION:
# Generate Control List with Default Settings:
control <- list(
llh = llh,
nlminb.eval.max = nlminb.eval.max,
nlminb.iter.max = nlminb.iter.max,
nlminb.abs.tol = nlminb.abs.tol,
nlminb.rel.tol = nlminb.rel.tol,
nlminb.x.tol = nlminb.x.tol,
nlminb.step.min = nlminb.step.min,
nlminb.scale = nlminb.scale,
nlminb.fscale = nlminb.fscale,
nlminb.xscale = nlminb.xscale,
sqp.mit = sqp.mit,
sqp.mfv = sqp.mfv,
sqp.met = sqp.met,
sqp.mec = sqp.mec,
sqp.mer = sqp.mer,
sqp.mes = sqp.mes,
sqp.xmax = sqp.xmax,
sqp.tolx = sqp.tolx,
sqp.tolc = sqp.tolc,
sqp.tolg = sqp.tolg,
sqp.told = sqp.told,
sqp.tols = sqp.tols,
sqp.rpf = sqp.rpf,
lbfgsb.REPORT = lbfgsb.REPORT,
lbfgsb.lmm = lbfgsb.lmm,
lbfgsb.pgtol = lbfgsb.pgtol,
lbfgsb.factr = lbfgsb.factr,
lbfgsb.fnscale = lbfgsb.fnscale,
lbfgsb.parscale = lbfgsb.parscale,
nm.ndeps = nm.ndeps,
nm.maxit = nm.maxit,
nm.abstol = nm.abstol,
nm.reltol = nm.reltol,
nm.alpha = nm.alpha,
nm.beta = nm.beta,
nm.gamma = nm.gamma,
nm.fnscale = nm.fnscale,
nm.parscale = nm.parscale
)
# Return Value:
control
}
################################################################################
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