Er... no. Alpha and Beta would be equal to or greater than 1 only if the
data are *not* mean-reverting. If they are then the fitted parameters
will be less than 1 and you can use the coefficient Lambda along with
the other coefficients to calculate the long-term mean.

On Thu, 2010-07-15 at 07:33 -0700, Matt Slezak wrote:

> RE:[R-SIG-Finance] fGarch and multivariate GARCH
> Wed Jul 14 2010 15:25:55 GMT-0500 (Central Daylight Time)
> From:
> "Geoffrey Smith" <gps@asu.edu>
> 
> Silly question for you, are you sure your dataset is mean reverting?  Then you 
> would only get an alpha beta returned... only odd thing is your alpha + beta 
> should equal 1 in this case.
> 
> Best,
> 
> Matt Slezak
> Risk Specialist
> 
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