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I have got a question, about fulfilling the stationary condition of the volatility specification, my question is that I have got some cases where ARCH+GARCH effects are more than one (1); and do not know how to resolve that, I want to know:
1. how can I resolve that, considering the fact that I have included deviations in the mean equation instead of variances; and
2. If there is no way to get red of this matter, how should I explain this? what are the effects of not fulfilling the stationary condition?

Thank you for your help!
Cheers
Tinoosh

If you are not experiencing any estimation or convergence problems, then make sure that the mean equation itself is actually stationary. Other than that, garch-in-mean specification may not be the appropriate choice of model for your data.

Thank you for your reply trubador. Just double checking, how could I test stationarity of the mean equation? Thank you for your help!
Cheers
Tinoosh