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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
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- Forum: SAS Institute, Inc. solutions
