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- Thu Mar 26, 2009 12:40 pm
- Forum: Estimation
- Topic: GARCH constraints not met?
- Replies: 3
- Views: 5817
GARCH constraints not met?
I am trying to use GARCH(1,1) to estimate the parameters for the long-term volatility. I am following John Hull's method of calculating the long-term volatility. The long-term volatility is (Coefficient of C) / [1 - (Coefficient for RESID(-1)^2) - (Coefficient for GARCH(-1)] subsituting w for the Co...