volatility persistence in garch (1,1)
Posted: Tue Dec 04, 2012 11:10 am
sir,
1. can the sum of ARCH term (α ) and GARCH term (β ) for the GARCH (1,1) model be more than one ?
2. if yes, does it signify rise in volatility persistence level ?
please reply
1. can the sum of ARCH term (α ) and GARCH term (β ) for the GARCH (1,1) model be more than one ?
2. if yes, does it signify rise in volatility persistence level ?
please reply