Hello Everyone! Thanks for watching! For all my content, you can visit my website at: www.jdeconomics.com/ Buy the material for any of my videos at: payhip.com/JDEconomics Feel free to susbcribe and support my channel: th-cam.com/channels/5P21WGFO4WRUlAiGLcwymg.html Best Regards, JD
Great Content! I have a small doubt. Why is the summation of coefficients should be one? If we use the estimate GARCH variance series as weights of WLS, is that restriction still needed?
Hi, thanks for your message. It has to do with the stationarity of the variance. If it is bigger to 1, period of volatility would increase over time rather than decrease. Cheers, JD
hi thanks for your good video my problem is sum of my coefficients in arch model bigger than one but i have good response on ARCH estimate, in this case we should use GARCH model too?
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Hello Everyone! Thanks for watching!
For all my content, you can visit my website at: www.jdeconomics.com/
Buy the material for any of my videos at: payhip.com/JDEconomics
Feel free to susbcribe and support my channel: th-cam.com/channels/5P21WGFO4WRUlAiGLcwymg.html
Best Regards,
JD
Great Content! I have a small doubt. Why is the summation of coefficients should be one? If we use the estimate GARCH variance series as weights of WLS, is that restriction still needed?
Hi, thanks for your message. It has to do with the stationarity of the variance. If it is bigger to 1, period of volatility would increase over time rather than decrease. Cheers, JD
Always great videos!
Thanks! JD.
hi thanks for your good video my problem is sum of my coefficients in arch model bigger than one but i have good response on ARCH estimate, in this case we should use GARCH model too?
You could try a Garch Model.