GARCH(2,1)
Posted: Mon Jun 03, 2013 1:00 am
Given the stability condition for the GARCH(p,q), for the casr of GARCH(1,1) the sum of ARCH (a) and GARCH (B) < 1. where ARCH(q) and GARCH(p)
what would be the stability constraints for a GARCH(2,1). Also do the non-negativity constraints apply to all the estimated coefficients in the conditional variance equation? I have a negative B coefficient for my GARCH(-2) term and my R-squared value is also negative. Is this a problem?
what would be the stability constraints for a GARCH(2,1). Also do the non-negativity constraints apply to all the estimated coefficients in the conditional variance equation? I have a negative B coefficient for my GARCH(-2) term and my R-squared value is also negative. Is this a problem?