We consider the parameter restrictions that need to be imposed to ensure that the conditional variance process of a GARCH(p,q) model remains nonnegative. Previously, Nelson and Cao (1992, "Journal of ...

Journal of Applied Econometrics, Vol. 23, No. 1, Themes in Financial Econometrics (Jan. - Feb., 2008), pp. 65-90 (26 pages) We investigate the empirical relevance of structural breaks for GARCH models ...