Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints

Changli He and Timo Teräsvirta

Journal of Time Series Analysis, 1999, vol. 20, issue 1, 23-30

Abstract: Non‐negativity constraints on the parameters of the GARCH(p, q) process may be relaxed without giving up the requirement that the conditional variance remains non‐negative with probability 1. In this paper we look into the consequences of adopting these less severe constraints in the GARCH(2, 2) case and its two second‐order special cases, GARCH(2, 1) and GARCH(1, 2). This is done by comparing the autocorrelation function of squared observations under these two sets of constraints. The less severe constraints allow more flexibility in the shape of the autocorrelation function than the constraints restricting the parameters to be non‐negative.

Date: 1999
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https://doi.org/10.1111/1467-9892.00123

Related works:
Working Paper: Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints (1997)
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