A negative ARCH coefficient

Discussions of ARCH, GARCH, and related models
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TomDoan
Posts: 7825
Joined: Wed Nov 01, 2006 4:36 pm

Re: A negative ARCH coefficient

Unread post by TomDoan »

It's so small that there is effectively no chance that the variance would go negative. It's a good indication that an ARCH(1) would be sufficient.
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