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- Wed Dec 27, 2017 9:42 am
- Forum: Econometric Discussions
- Topic: Negative ARCH Parameters
- Replies: 0
- Views: 1826
Negative ARCH Parameters
Dear All, I have estimated a number of ARCH(p) and GARCH(p,q) specifications - ARCH(1) and GARCH(1,1) specifications to be specific. Some of them have slightly negative (but statistically insignficant) ARCH coefficients. Now, I am aware that this implies a misspecification of the conditional varianc...