Inequality constraints in the univariate garch model

Daniel B. Nelson; Charles Q. Cao

doi:10.1080/07350015.1992.10509902

Inequality constraints in the univariate garch model

Daniel B. Nelson, Charles Q. Cao

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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 language	English (US)
Pages (from-to)	229-235
Number of pages	7
Journal	Journal of Business and Economic Statistics
Volume	10
Issue number	2
DOIs	https://doi.org/10.1080/07350015.1992.10509902
State	Published - 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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10.1080/07350015.1992.10509902

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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.",

author = "Nelson, {Daniel B.} and Cao, {Charles Q.}",

note = "Funding Information: We thank Phillip Braun, an associate editor, and two anonymous referees for helpful comments. The Center for Research in Security Prices and the National Science Foundation provided financial support. Copyright: Copyright 2016 Elsevier B.V., All rights reserved.",

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N2 - 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.

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Inequality constraints in the univariate garch model

Abstract

All Science Journal Classification (ASJC) codes

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