[R] alpha_1 + beta_1 >1 in GARCH(1,1)
user84
roland.taber at gmx.at
Sun Nov 20 11:25:39 CET 2011
Hi,
as i suppose to know in a stationary GARCH(1,1) model the sum of alpha and
beta has to be smaller than 1.
But if i use the garchfit() function from the package fGarch for my
timeseries the sum is bigger than 1.
The adf.test tells me a p-value smaller than 0.01 instead.
What does this mean for me?
Can i trust in the coefficients in this case?
mfg user84
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