I am trying to use GARCH(1,1) estimation. I have two questions:
1) How can I set constraints (or restrictions) of C(2), C(3) and C(4) in the variance equation, say, they must be positive and C(3) + C(4) <1?
2) How can I do it in a Program?
Many thanks,
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- Thu Feb 04, 2016 1:06 am
- Forum: Estimation
- Topic: How to set constraints to the coefs in GARCH Estimation
- Replies: 0
- Views: 1557