Estimating GARCH parameters using fmincon

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Jen 2011-8-26

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Hi,

I am using the following code to estimate the garch parameters. However I get the following message:

fmincon stopped because it exceeded the function evaluation limit, options.MaxFunEvals = 300 (the default value).

I have increased the value, but am getting the same message?!?!

-------------------------------------------------------------------

par0 = [0.00001,0.09,0.89];
A = [0,1,1];
b = 1;
[par,fval] = fmincon(@GarchParameters,par0,A,b,[],[],[0,0,0],[]);
--------------------------------------------------------------
function LLF = GarchParameters(par)
data = xlsread('FTSEPrices.xlsx');
Prices = data;
T = length(Prices);
LogReturns = zeros(T-1,1);
for i = 1:T-1 
   LogReturns(i) = log(Prices(i+1)/Prices(i));
end
AverLogReturns = mean(LogReturns);
ErrorTermSquared = (LogReturns - AverLogReturns).^2;
AverageErrorTermSquared = mean(ErrorTermSquared);
ConditionalVariance = zeros(T,1);
ConditionalVariance(1) = par(1)+par(2)*AverageErrorTermSquared + par(3)
*AverageErrorTermSquared;
for i = 2:T
    ConditionalVariance(i) = par(1) + par(2)*ErrorTermSquared(i-1) + par(3)
*ConditionalVariance(i-1);
end
ConditionalVariance = ConditionalVariance(2:end);
LLF = 0.5*sum(log(ConditionalVariance))+0.5*(sum(ErrorTermSquared.
/ConditionalVariance));