sir,
1. can the sum of ARCH term (α ) and GARCH term (β ) for the GARCH (1,1) model be more than one ?
2. if yes, does it signify rise in volatility persistence level ?
please reply
Search found 3 matches
- Tue Dec 04, 2012 11:10 am
- Forum: Econometric Discussions
- Topic: volatility persistence in garch (1,1)
- Replies: 1
- Views: 2344
- Fri Nov 16, 2012 6:39 am
- Forum: Estimation
- Topic: Variance ratio
- Replies: 12
- Views: 14000
Re: Variance ratio
thanks...
- Thu Nov 15, 2012 10:52 am
- Forum: Estimation
- Topic: Variance ratio
- Replies: 12
- Views: 14000
Re: Variance ratio
Sir I am attaching a table here , Variance Ratio Test on Dow Jones _Retuns Joint Tests Value df Probability Max |z| (at period 2)* 2.698854 2476 0.0994 Individual Tests Period Var. Ratio Std. Error z-Statistic Probability 2 0.377692 0.230582 -2.698854 0.0070 3 0.222188 0.313559 -2.480593 0.0131 4 0....