arch+garch > 1

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noguerajose
Posts: 2
Joined: Sat Nov 12, 2011 4:07 pm

arch+garch > 1

Postby noguerajose » Sat Nov 12, 2011 4:14 pm

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
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obicna89
Posts: 22
Joined: Thu Jun 09, 2011 11:09 am

Re: arch+garch > 1

Postby obicna89 » Mon Nov 14, 2011 4:08 am

try different specifications, like garch(2,1) etc.
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