Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints
Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints
复制标题
两组参数约束下二阶 Garch 过程观测值平方自相关函数的性质
DOI：
10.1111/1467-9892.00123
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发表时间：
1999
期刊：
影响因子：
--
通讯作者：
Timo Terasvirta
中科院分区：
文献类型：
--
作者：
Changli He;Timo Terasvirta
Non‐negativity constraints on the parameters of the GARCH(p, q) process may be relaxed without giving up the requirement that the conditional variance remains non‐negative with probability 1. In this paper we look into the consequences of adopting these less severe constraints in the GARCH(2, 2) case and its two second‐order special cases, GARCH(2, 1) and GARCH(1, 2). This is done by comparing the autocorrelation function of squared observations under these two sets of constraints. The less severe constraints allow more flexibility in the shape of the autocorrelation function than the constraints restricting the parameters to be non‐negative.
