Do you know how to find persistence parameter in EGARCH?
I could not get any info in Eviews 7 manual.
In literature, I found that "persistence of volatility is captured by the β coefficient alone in EGARCH specification", but it is not clear whether all absolute of sum β's <1 or not
Fo example EGARCH(2,1) , persistence is
absolute (β1+β2) <1 ?
Thanks for your help
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
1 post • Page 1 of 1
Who is online
Users browsing this forum: No registered users and 6 guests