[R] alpha_1 + beta_1 >1 in GARCH(1,1)

user84 roland.taber at gmx.at
Sun Nov 20 11:25:39 CET 2011


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

View this message in context: http://r.789695.n4.nabble.com/alpha-1-beta-1-1-in-GARCH-1-1-tp4088342p4088342.html
Sent from the R help mailing list archive at Nabble.com.

More information about the R-help mailing list