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arch+garch > 1

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arch+garch > 1

Posted: Sat Nov 12, 2011 4:14 pm
by noguerajose
I am running a garch process and find that the arch plus the garch coefficients adds to more than one, that is, arch + garch > 1.
Should I in this case use an IGARCH estimation? Any suggestion?
Thanks Joe

Re: arch+garch > 1

Posted: Mon Nov 14, 2011 4:08 am
by obicna89
try different specifications, like garch(2,1) etc.
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