persistence parameter in EGARCH
Posted: Thu Jul 08, 2010 3:10 am
Hello all,
Do you know how to find persistence parameter in EGARCH?
I could not get any info in Eviews 7 manual.
In literature, I found that "persistence of volatility is captured by the β coefficient alone in EGARCH specification", but it is not clear whether all absolute of sum β's <1 or not
Fo example EGARCH(2,1) , persistence is
absolute (β1+β2) <1 ?
Thanks for your help
Do you know how to find persistence parameter in EGARCH?
I could not get any info in Eviews 7 manual.
In literature, I found that "persistence of volatility is captured by the β coefficient alone in EGARCH specification", but it is not clear whether all absolute of sum β's <1 or not
Fo example EGARCH(2,1) , persistence is
absolute (β1+β2) <1 ?
Thanks for your help