I am using a GARCH(1, 1) model to try model volatility for a certain stock.
I have a GARCH function in matlab that returns the three parameters, omega, alpha & beta.
I then use this parameters in the formula below to see the forecast volatility. The numbers seems reasonable however the parameters do not.
Sigma t = omega + alpha * Return Squared t-1 + beta * Sigma t-1
The omega is very high half the time above 0.8. My alpha + beta are tend to be very low suggesting low persistance. What would cause this low persistance? I have read that you would expect alpha + beta typically to be close to 1.