egarch

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h-godarzi
Posts: 17
Joined: Tue Apr 21, 2009 12:40 am

egarch

Postby h-godarzi » Sun Nov 15, 2009 5:47 am

hi all
why in the egarch model the intercept of variance equation is negative?
regards
hojat
Last edited by h-godarzi on Wed Feb 03, 2010 5:58 am, edited 1 time in total.
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trubador
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Joined: Thu Nov 20, 2008 12:04 pm

Re: egarch

Postby trubador » Tue Nov 17, 2009 6:44 pm

EGARCH is an exponential model of the volatility as the name suggests. Therefore, there is no need to put additional constraints on coefficients to ensure the nonnegativity...
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h-godarzi
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Joined: Tue Apr 21, 2009 12:40 am

Re: egarch

Postby h-godarzi » Fri Nov 20, 2009 12:20 pm

thanks trubador
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