insignificant parameter in GARCH model
Posted: Tue Feb 18, 2014 10:14 pm
by Kelvin-Weng
I have estimated GARCH(2,2) model in Eviews. However, resid(-1)^2 is insignificant. How can I do to take reside(-1)^2 out of the equation?
Re: insignificant parameter in GARCH model
Posted: Mon Feb 24, 2014 11:49 am
by trubador
You do not have to. But if you must, then you should build a customized model via maximum likelihood (i.e. LogL object). Search the forum for such examples...