question about GARCH coefficients

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pascal
Posts: 6
Joined: Thu Mar 04, 2010 7:06 am

question about GARCH coefficients

Postby pascal » Thu Mar 04, 2010 7:28 am

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
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pascal
Posts: 6
Joined: Thu Mar 04, 2010 7:06 am

Re: question about GARCH coefficients

Postby pascal » Tue Mar 16, 2010 2:24 am

Can anyone help me??
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random_access
Posts: 29
Joined: Thu Apr 30, 2009 1:39 am

Re: question about GARCH coefficients

Postby random_access » Tue Mar 23, 2010 1:43 am

yes. since the sum is less than one.
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