Search found 1 match
- Mon Jun 03, 2013 1:00 am
- Forum: Econometric Discussions
- Topic: GARCH(2,1)
- Replies: 0
- Views: 3747
GARCH(2,1)
Given the stability condition for the GARCH(p,q), for the casr of GARCH(1,1) the sum of ARCH (a) and GARCH (B) < 1. where ARCH(q) and GARCH(p) what would be the stability constraints for a GARCH(2,1). Also do the non-negativity constraints apply to all the estimated coefficients in the conditional v...