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Hi

Should the sum of ARCH and GARCH coefficients of Diagonal BEKK (GARCH(1)) be less than unity ?

Thanks

Hi there, I am a beginner to Econometrics. I use the following BEKK specification for my research work. I need some help on interpreting the estimation results. Thanks in advance, Fist I selected OBJECT – NEW OBJECT – SYSTEM and I typed Ashare = C(1) + C(2)*Ashare(-1) Bshare = C(3) + C(4)*Bshare(-1)...