ARCH/GARCH ESTIMATION
Posted: Wed Jun 23, 2010 3:36 am
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.