explosive Garch

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alm
Posts: 4
Joined: Sat Jul 30, 2016 1:04 pm

explosive Garch

Postby alm » Wed Aug 03, 2016 12:46 pm

hello
I estimated a Garch(1,1) model using a dummy variable as a calendar effect in conditional mean equation, but I faced a problem. The sum of the coefficients in the conditional variance equation exceeds one, so the model is explosive.
How should this be analyzed?
what should I do?

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