after running GARCH(1,1) with exogenous variable the result is showing below, is there any way I can put the constraint on cons which can make
the coef. of cons be bigger than zero so coef. of SSEvariance can be more reasonable. can someone help me with this?
ARCH family regression -- multiplicative heteroskedasticity
Sample: 1 - 3975 Number of obs = 3975
Distribution: Gaussian Wald chi2(.) = .
Log likelihood = 12272.07 Prob > chi2 = .
------------------------------------------------------------------------------
| OPG
logreturnSP | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
logreturnSP |
_cons | -.0005745 .0001535 -3.74 0.000 -.0008754 -.0002737
-------------+----------------------------------------------------------------
HET |
SSEvariance | 1215.495 280.2632 4.34 0.000 666.1893 1764.801
_cons | -13.37328 .1784485 -74.94 0.000 -13.72303 -13.02353
-------------+----------------------------------------------------------------
ARCH |
arch |
L1. | .088168 .0063126 13.97 0.000 .0757955 .1005406
|
garch |
L1. | .8989451 .0071402 125.90 0.000 .8849505 .9129397
------------------------------------------------------------------------------
the coef. of cons be bigger than zero so coef. of SSEvariance can be more reasonable. can someone help me with this?
ARCH family regression -- multiplicative heteroskedasticity
Sample: 1 - 3975 Number of obs = 3975
Distribution: Gaussian Wald chi2(.) = .
Log likelihood = 12272.07 Prob > chi2 = .
------------------------------------------------------------------------------
| OPG
logreturnSP | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
logreturnSP |
_cons | -.0005745 .0001535 -3.74 0.000 -.0008754 -.0002737
-------------+----------------------------------------------------------------
HET |
SSEvariance | 1215.495 280.2632 4.34 0.000 666.1893 1764.801
_cons | -13.37328 .1784485 -74.94 0.000 -13.72303 -13.02353
-------------+----------------------------------------------------------------
ARCH |
arch |
L1. | .088168 .0063126 13.97 0.000 .0757955 .1005406
|
garch |
L1. | .8989451 .0071402 125.90 0.000 .8849505 .9129397
------------------------------------------------------------------------------