Inequality Constraints in the Univariate GARCH Model
Bibliographic Data
| ID | 19418594 |
|---|---|
| Authors | Daniel B Nelson (0000-0002-2716-7770, University of Chicago), Charles Q Cao (University of Chicago), Charles Cao (University of Chicago) |
| Year | 1992 |
| Volume | 10 |
| Issue | 2 |
| Pages | 229-235 |
| Publication date | 1992-04-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1992.10509902 |
| OpenAlex | W2066628373 |
| Language | EN |
| Citations received | 11 |
| References cited | 13 |
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
Autoregressive conditional heteroskedasticity · Econometrics · Economics · Estimation · Inequality · Mathematical optimization · Multivariate statistics · Statistics · Univariate · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact · Applied Mathematics
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| Citations per year | 0.33 |
|---|---|
| Citation span | 1993 - 2026 (34) |
| Highly cited | No |