IGARCH(1,1) has coeffieintes greater than one
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noguerajose
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- Joined: Sat Nov 12, 2011 4:07 pm
IGARCH(1,1) has coeffieintes greater than one
I run a GARCH model and the corefficients add to more than one. Then I use IGARCH, but one coefficient is greater than one and the other negative. Can that happen? It looks like there is something wrong
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