Question

c) Consider the following estimates of two different GARCH(1.1) modelas: Model 1 ft = 0.018 ht0.008+0.293ê21 0.915ht-1 (4.015) (1.619) Model 2 f 0.008 he 0.004+ 0.193e21 +0.795h (5.015) (16.969) where t is the calculated value of the t-statistic. Are the estimated coefficients of the GARCH(1,1) models of the correct sign? Does the stationary condition hold for the two models? Explain carefully [40]

Answer 1