INEQUALITY CONSTRAINTS IN THE UNIVARIATE GARCH MODEL

被引:218
作者
NELSON, DB
CAO, CQ
机构
关键词
AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY (ARCH);
D O I
10.2307/1391681
中图分类号
F [经济];
学科分类号
02 ;
摘要
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.
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页码:229 / 235
页数:7
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