Inequality Constraints in the Univariate GARCH Model
Authors:
- 1 April 1992
- journal article
- research article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 10 (2) , 229-235
Abstract
To keep the conditional variances generated by the GARCH (p, q) model nonnegative, Bollerslev imposed nonnegativity constraints on the parameters of the process. We show that these constraints can be substantially weakened and so should not be imposed in estimation. We also provide empirical examples illustrating the importance of relaxing these constraints.Keywords
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