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Non-negativity constraints GARCH(1,1)
Posted: Thu May 27, 2010 9:20 am
by hendrix
I'm running a GARCH(1,1) model on intraday data with a bunch of dummy variables in the variance equation (time-of-day, day, news etc.). The problem is that I get negative coeffisient for some of the dummy's. Is it possible constrain the paramters to be non-negative?
EViews 7.1
Re: Non-negativity constraints GARCH(1,1)
Posted: Thu May 27, 2010 9:26 am
by EViews Gareth
Re: Non-negativity constraints GARCH(1,1)
Posted: Thu May 27, 2010 10:29 am
by hendrix
Thank you,
But I can't get it to work when using a GARCH model, probably because I'm not familiar with estimation using the command window. Anyways my mean equation is:
and the variance regressors which I need to constraint is:
Re: Non-negativity constraints GARCH(1,1)
Posted: Thu May 27, 2010 10:42 am
by EViews Gareth
Sorry, didn't realise you wanted to constrain the variance regressors. That can't be done.
Re: Non-negativity constraints GARCH(1,1)
Posted: Thu May 27, 2010 11:01 am
by hendrix
Ok.
I'm not too experienced with GARCH-modelling. My lagged squared error and lagged variance term is non-negative, is it acceptable that some of the dummys coeffisients is negative?