question about GARCH coefficients
Posted: 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
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