Inequality constraints in the univariate garch model

Daniel B. Nelson, Charles Q. Cao

Research output: Contribution to journalArticle

246 Scopus citations

Abstract

To keep the conditional variances generated by the GARCH ip, 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.

Original languageEnglish (US)
Pages (from-to)229-235
Number of pages7
JournalJournal of Business and Economic Statistics
Volume10
Issue number2
DOIs
StatePublished - Apr 1992

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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