How to check global and local maximum?

Discussions of ARCH, GARCH, and related models

How to check global and local maximum?

Postby yli725 » Thu Mar 28, 2013 1:15 pm

Dear Tom,

After I use MLE to estimate the MVGarch model, how can I check the global or local maximum? Thank you very much!
yli725
 
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Re: How to check global and local maximum?

Postby TomDoan » Fri Mar 29, 2013 2:52 pm

With any model whose likelihood function isn't known to be globally (quasi-) concave, there is no way to tell for certain if you've found a local or a global maximum. If you're concerned about it, you can use preliminary GENETIC iterations to see if they find a different optimum.
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