I run EGARCH Model for my data, in Mean and Variance Equation.all P value are significant, but my ARCH Coefficient is negative. so my question .. is it ok if I use this model ? or maybe there’s a reference for allow me to still use this model ?
I did run tentative models like GARCH, GJR-GARCH, TGARCH, FIAGARCH. But still this model (EGARCH) has AIC,BIC, and LLH better than other models.