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?
GARCH(2,1)
Moderators: EViews Gareth, EViews Moderator
Return to “Econometric Discussions”
Who is online
Users browsing this forum: No registered users and 2 guests
