I have a problem with optimizing my GARCH model. (garch.nb is in attachment). I need to optimize the function (LLF, maximum likelihood) with another function in it's body (egarchseq, which generates a sequense of variance estimates).
Both functions work fine if I set "par" as a numerical. But NMaximize (or FindMinimum) cant find the solution if I set "var" as a parameter.
What do I do wrong? Thank you.
Attachment: GARCH.nb, URL: ,