Problem with simple GARCH estimation in Eviews6
Posted: Mon Dec 26, 2011 10:21 am
Dear All,
I am running several estimations of GARCH models on financial returns using a simple syntax:
equation equation name.arch(garch) y
In a few cases I obtain a negative ARCH factor, and a GARCH factor above 1. Anybody knows how to "force" both factors to be between 0 and 1?
I would be grateful for any helpful answers.
Cheers,
Simon
I am running several estimations of GARCH models on financial returns using a simple syntax:
equation equation name.arch(garch) y
In a few cases I obtain a negative ARCH factor, and a GARCH factor above 1. Anybody knows how to "force" both factors to be between 0 and 1?
I would be grateful for any helpful answers.
Cheers,
Simon