in the book by Carol Alexander on page 283 he talks about only the $\beta$ parameter (my $\delta_1$) being the persistence parameter. In some books I read, that the persistence of a GARCH(1,1) is $\gamma_1+\delta_1$, but e.g.
#Multivariate garch eviews 10 how to
in Tsay), but I could not find good information, so any literature recommendation about the interpretation of these parameters would be appreciated.Įdit: I would be also interested in how to interpret the persistence. the $\gamma_1$ increases?).Īlso, I looked it up in several books (e.g. So can anyone give me a good explanation of what those parameters represent and how a change in the parameters could be explained (so what does it mean if e.g. This multivariate GARCH is known as VECH model because of its form. The multivariate extension to univariate model was first introduced by (Engle & Granger, 1987) in the ARCH context, and (Bollerslev, Engle, & Wooldridge, 1988) in the GARCH context. As an example, I ran in eViews the daily stock returns of a firm and calculated the volatility using GARCH (1,1) (as you can see in the attached picture). But I would like to have a better and more comprehensive interpretation of these parameters. Table 1 (a) gives a selected review (see Appendice I). Also, the $\delta_1$ is not very intuitively for me: It represents the adjustment to pas volatility.
![multivariate garch eviews 10 multivariate garch eviews 10](https://www.redalyc.org/journal/840/84064925005/1982-7849-rac-25-01-e200088-gf04.jpg)
The $\gamma_1$ represents the adjustment to past shocks. So it represents kind of an "ambient volatility". I see that $\gamma_0$ is something like a constant part. Therefore I am wondering about a nice interpretation, so what does $\gamma_0$,$\gamma_1$ and $\delta_1$ represent? I have different estimates of the coefficients and I need to interpret them.