Problem with simple GARCH estimation in Eviews6

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simon_kam
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Joined: Mon Dec 26, 2011 9:29 am

Problem with simple GARCH estimation in Eviews6

Postby simon_kam » Mon Dec 26, 2011 10:21 am

Dear All,

I am running several estimations of GARCH models on financial returns using a simple syntax:

equation equation name.arch(garch) y

In a few cases I obtain a negative ARCH factor, and a GARCH factor above 1. Anybody knows how to "force" both factors to be between 0 and 1?

I would be grateful for any helpful answers.

Cheers,
Simon

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