How to set constraints to the coefs in GARCH Estimation
Posted: Thu Feb 04, 2016 1:06 am
I am trying to use GARCH(1,1) estimation. I have two questions:
1) How can I set constraints (or restrictions) of C(2), C(3) and C(4) in the variance equation, say, they must be positive and C(3) + C(4) <1?
2) How can I do it in a Program?
Many thanks,
1) How can I set constraints (or restrictions) of C(2), C(3) and C(4) in the variance equation, say, they must be positive and C(3) + C(4) <1?
2) How can I do it in a Program?
Many thanks,