A Note on Inequality Constraints in the GARCH Model

نویسنده

  • Henghsiu Tsai
چکیده

We consider the parameter restrictions that need to be imposed in order to ensure that the conditional variance process of a GARCH(p, q) model remains non-negative. Previously, Nelson and Cao (1992) provided a set of necessary and sufficient conditions for the aforementioned non-negativity property for GARCH(p, q) models with p ≤ 2, and derived a sufficient condition for the general case of GARCH(p, q) models with p ≥ 3. In this paper, we show that the sufficient condition of Nelson and Cao (1992) for p ≥ 3 is actually also a necessary condition. We also point out the linkage between the absolute monotonicity of the GARCH

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تاریخ انتشار 2006