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

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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.
 
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