Is it possible foe the GARCH coefficient to be negative

15 August 2017 1 10K Report

Is it possible foe the GARCH coefficient to be -1.002564? But if I add the GARCH and ARCH coefficients their sum is less than 1. Attached in the output for Eviews affter fitting SARIMA(1,0,0)(1,0,1)12-GARCH(1,1) model

Ette Etuk

The constraint of positive coefficients is usually imposed on a Garch model to avoid negative residual variances. Estimates of the GARCH model should therefore be such that coefficients be positive and never negative. In your own case the autoregressive (AR) component is not stationary. That may be the reason why the GARCH model is not well-behaved. That is, it has a negative coefficient. That should not be.

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