I am using E-views and estimating GJR-GARCH (i.e. GARCH(1,1) with a Threshold Order of 1). The data in question is Daily returns for the ASX200 index. I am only using a constant in my my mean equation with no ARMA terms.
The formula E-views uses is as below.
GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)RESID(-1)^2(RESID(-1)<0) +
The output yields a very high p-value for RESID(-1)^2. It yields 0.8900 to be exact. What could be the cause for this and is there a reason to worry, or a way to correct it?