Inequality Constraints in the Univariate GARCH Model.

To keep the conditional variances generated by the generalized autoregressive conditional heteroscedastic (p, q) model nonnegative, T. Bollerslev imposed nonnegativity constraints on the parameters of the process. The authors show that these constraints can be substantially weakened and so should not be imposed in estimation. They also provide empirical examples illustrating the importance of relaxing these constraints.

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Year of publication:	1992
Authors:	Nelson, Daniel B ; Cao, Charles Q
Published in:	Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 10.1992, 2, p. 229-35
Publisher:	American Statistical Association

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005733910