persistence parameter in EGARCH

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persistence parameter in EGARCH

Postby kelaynak » Thu Jul 08, 2010 3:10 am

Hello all,

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

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