Hi,
I'm simulating a Heston & Nandi GARCH-model for S&P500 in Excel (Solver). can anybody explain, whay I obtain the parameter \alpha_0=0? I'm use the definition ln(S_t/S_{t-1})= \mu+\sigma_t*z_t, where z_t iid and \sigma_t^2 = \alpha_0 + \alpha_1*(z_{t-1} - \gamma*\sigma_{t-1})^2. Per definition is \alpha_0>0 isn't?
Many thanks in advance
I'm simulating a Heston & Nandi GARCH-model for S&P500 in Excel (Solver). can anybody explain, whay I obtain the parameter \alpha_0=0? I'm use the definition ln(S_t/S_{t-1})= \mu+\sigma_t*z_t, where z_t iid and \sigma_t^2 = \alpha_0 + \alpha_1*(z_{t-1} - \gamma*\sigma_{t-1})^2. Per definition is \alpha_0>0 isn't?
Many thanks in advance
