Non-negativity conditions for the hyperbolic GARCH model
نویسندگان
چکیده
منابع مشابه
Non-negativity conditions for the Hyperbolic GARCH Model
In this article we derive conditions which ensure the non-negativity of the conditional variance in the Hyperbolic GARCH(p, d, q) (HYGARCH) model of Davidson (2004). The conditions are necessary and sufficient for p ≤ 2 and sufficient for p > 2 and emerge as natural extensions of the inequality constraints derived in Nelson and Cao (1992) for the GARCH model and in Conrad and Haag (2006) for th...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2010
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2010.03.045