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2.998e
2009 Feb 16
0
odd GARCH(1,1) results
Hi everybody,
I'm trying to fit a Garch(1,1) process to the DAX returns. My data
consists of about 2300 10day-logreturns in chronologically descending
order (see attachment). But if I use the garch function I get a very
high alpha_1 and a quite low beta, which doesn't make that much sense. I
think I am missing something, but have no idea what it might be. I'd
appreciate it a lot