GARCH(1 1) mean and variance equation difference in results?

14 July 2022 1 6K Report

Hello friends, i want to know what is the difference if the lag return is giving positive coefficient value in mean equation and negative coefficient value in variance equation? Can someone tell me what's the logic behind this?

Thank You

Seyed Sadegh Zamani

I'm sorry, I don't have the expertise.

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