GARCH(2,1)

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jcharts
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Joined: Mon Jun 03, 2013 12:42 am

GARCH(2,1)

Postby jcharts » Mon Jun 03, 2013 1:00 am

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 variance equation? I have a negative B coefficient for my GARCH(-2) term and my R-squared value is also negative. Is this a problem?

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