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 strongm on being selected by the Tek-Tips community for having the most helpful posts in the forums last week. Way to Go!

How to fit GARCH(1,1) with targeted unconditional variance? Thanks!

Status
Not open for further replies.

unixunix99

Technical User
Feb 14, 2009
1
US
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 unconditional variance can be controled to be \omega /(1-\alpha-\beta) = 1.

I was using proc autoreg with GARCH options but did not find the way to control \omega. Any help?

Thanks a lot!!

Ted
 
Have you looked into proc arima...I know you can fit GARCH models with arima.
 
Status
Not open for further replies.

Part and Inventory Search

Sponsor

Back
Top