Tek-Tips is the largest IT community on the Internet today!
Members share and learn making Tek-Tips Forums the best source of peer-reviewed technical information on the Internet!
-
Congratulations dencom on being selected by the Tek-Tips community for having the most helpful posts in the forums last week. Way to Go!
Recent content by unixunix99
-
How to fit GARCH(1,1) with targeted unconditional variance? Thanks!
Hello, I have a question about GARCH(1,1) estimation: I have a univariate data set, and the unconditional variance is, say, 1. I would like to fit a GARCH(1,1) model to the data set with a constraint: \omega (the constant parameter in GARCH(1,1)) is equal to 1-\alpha-\beta. So the...- unixunix99
- Thread
- Replies: 1
- Forum: SAS Institute, Inc. solutions
