Search found 2 matches
- Tue Aug 20, 2013 5:00 pm
- Forum: Econometric Discussions
- Topic: IGARCH(1,1) has coeffieintes greater than one
- Replies: 0
- Views: 2044
IGARCH(1,1) has coeffieintes greater than one
I run a GARCH model and the corefficients add to more than one. Then I use IGARCH, but one coefficient is greater than one and the other negative. Can that happen? It looks like there is something wrong
- Sat Nov 12, 2011 4:14 pm
- Forum: Econometric Discussions
- Topic: arch+garch > 1
- Replies: 1
- Views: 3275
arch+garch > 1
I am running a garch process and find that the arch plus the garch coefficients adds to more than one, that is, arch + garch > 1.
Should I in this case use an IGARCH estimation? Any suggestion?
Thanks Joe
Should I in this case use an IGARCH estimation? Any suggestion?
Thanks Joe