Merge pull request #63 from davidanthoff/fix-garchfit

Fix garchFit error
JuliaStats · Jul 22, 2016 · 136ea7e · 136ea7e
2 parents 906bf81 + dd6b66c
commit 136ea7e
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Showing 3 changed files with 3 additions and 1 deletion.
diff --git a/REQUIRE b/REQUIRE
@@ -3,3 +3,4 @@ Distributions
 StatsBase
 TimeSeries 0.5.11
 Optim
+NLopt
diff --git a/src/GARCH.jl b/src/GARCH.jl
@@ -101,7 +101,7 @@ function garchFit(data::Vector)
   lower_bounds!(opt,[1e-10, 0.0, 0.0])
   upper_bounds!(opt,[1; 0.3; 0.99])
   min_objective!(opt, garchLike)
-  (minf,minx,ret) = Optim.optimize(opt, [1e-5, 0.09, 0.89])
+  (minf,minx,ret) = NLopt.optimize(opt, [1e-5, 0.09, 0.89])
   converged = minx[1]>0 && all(minx[2:3].>=0) && sum(minx[2:3])<1.0
   H = cdHessian(minx,x->garchLLH(rets,x))
   cvar = -inv(H)

diff --git a/src/TimeModels.jl b/src/TimeModels.jl
@@ -5,6 +5,7 @@ using Distributions
 using StatsBase
 using TimeSeries 
 using Optim
+using NLopt
 
 import Base: show