Question:
I estimated a GARCH model which (alpha+beta)>1, therefore, I try a GARCH (1, 3) model and get (alpha+beta)<1 result.
However, the beta are equal to 1.94, -1.52 and 0.32, respectively.
Does this result satisfy the stationary constraint?
Thank you very much
question about GARCH coefficients
Moderators: EViews Gareth, EViews Moderator
Re: question about GARCH coefficients
Can anyone help me??
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Re: question about GARCH coefficients
yes. since the sum is less than one.
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