Displaying 1 result from an estimated 1 matches for "tp4088342p4088342".
2011 Nov 20
1
alpha_1 + beta_1 >1 in GARCH(1,1)
...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.