insignificant parameter in GARCH model

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Kelvin-Weng
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Joined: Tue Feb 18, 2014 10:06 pm

insignificant parameter in GARCH model

Postby Kelvin-Weng » Tue Feb 18, 2014 10:14 pm

I have estimated GARCH(2,2) model in Eviews. However, resid(-1)^2 is insignificant. How can I do to take reside(-1)^2 out of the equation?
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trubador
Did you use forum search?
Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: insignificant parameter in GARCH model

Postby trubador » Mon Feb 24, 2014 11:49 am

You do not have to. But if you must, then you should build a customized model via maximum likelihood (i.e. LogL object). Search the forum for such examples...
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