GARCH/ARCH Estimation
Posted: Tue Jun 22, 2010 12:01 pm
Hi,
I am estimating GARCH processes. My question is about the contrainsts on the coefficients of the variance equation . I saw that they should be positive and that the sum of 'alpha' and 'beta' should be inferior to 1. I am wondering if i need to take into account the contrainsts with eviews.
Thanks for helping me.
I am estimating GARCH processes. My question is about the contrainsts on the coefficients of the variance equation . I saw that they should be positive and that the sum of 'alpha' and 'beta' should be inferior to 1. I am wondering if i need to take into account the contrainsts with eviews.
Thanks for helping me.