Journal article
A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL
Econometric theory, Vol.24(3), pp.823-828
06/2008
DOI: 10.1017/S0266466608080432
Abstract
We consider the parameter restrictions that need to be imposed to ensure that the conditional variance process of a GARCH(p,q) model remains nonnegative. Previously, Nelson and Cao (1992, Journal of Business ’ Economic Statistics 10, 229–235) provided a set of necessary and sufficient conditions for the aforementioned nonnegativity 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 actually is also a necessary condition. In addition, we point out the linkage between the absolute monotonicity of the generalized autoregressive conditional heteroskedastic (GARCH) generating function and the nonnegativity of the GARCH kernel, and we use it to provide examples of sufficient conditions for this nonnegativity property to hold.
Details
- Title: Subtitle
- A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL
- Creators
- Henghsiu Tsai - Academia SinicaKung-Sik Chan - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Econometric theory, Vol.24(3), pp.823-828
- Publisher
- Cambridge University Press
- DOI
- 10.1017/S0266466608080432
- ISSN
- 0266-4666
- eISSN
- 1469-4360
- Number of pages
- 6
- Language
- English
- Date published
- 06/2008
- Academic Unit
- Statistics and Actuarial Science; Radiology
- Record Identifier
- 9984257624102771
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