Inequality Constraints in the Univariate GARCH Model
Inequality Constraints in the Univariate GARCH Model
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DOI：
10.1080/07350015.1992.10509902
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发表时间：
1992-04
影响因子：
3
通讯作者：
Daniel B. Nelson;C. Cao
中科院分区：
文献类型：
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作者：
Daniel B. Nelson;C. Cao
为了保持由GARCH（p，q）模型产生的条件方差非负，Bollerslev对过程的参数施加了非负性约束。我们表明，这些限制可以大大削弱，所以不应该施加在估计。我们还提供了实证的例子说明放松这些限制的重要性。
To keep the conditional variances generated by the GARCH (p, q) model nonnegative, Bollerslev imposed nonnegativity constraints on the parameters of the process. We show that these constraints can be substantially weakened and so should not be imposed in estimation. We also provide empirical examples illustrating the importance of relaxing these constraints.