[R-SIG-Finance] Negative Estimate of EGARCH model
alexios at 4dscape.com
Fri Jan 27 17:23:39 CET 2012
"Correcting" the possibility of negative parameter estimates implies an
error in the model. This is not so, and I
suggest you try to read some of the references cited in the package
about how GARCH models work.
The point of eGARCH is that we work with the log of the variance so we
do not have to worry about positivity.
The parameters therefore, for the intercept (\omega), shock (\alpha)
and asymmetry (\gamma) are 'unrestricted' while the
parameter on the lagged variance (\beta) is constrained (for
stationarity) to be less than 1 and positive.
Thus, it is NOT a correction you are seeking but a customization to suit
your own beliefs on the model. You are free to
go into the code and change these restrictions to suit your purpose. The
restrictions may be found in the "rugarch-startpars.R" file
in the source installation and the function is ".egarchstart".
On 27/01/12 16:05, Papa Senyo wrote:
> Dear All,
> Using the rugarch package, how can you correct the possibility of negative estimates for instance in EGARCH parameters being negative?
> Is it possible to put a restriction on it in order to get positive estimates especially for the ARCH AND GARCH PARAMETER
> Kind regards,
> [[alternative HTML version deleted]]
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