Chapter Contents |
Previous |
Next |
The AUTOREG Procedure |
model y = x1 x2 / garch=(q=1,p=1);When you want to estimate the subset of ARCH terms, for example, ARCH(1 3), you can write the SAS statement as follows:
model y = x1 x2 / garch=(q=(1 3));With the TYPE= option, you can specify various GARCH models. The IGARCH(2,1) model without trend in variance is estimated as follows:
model y = / garch=(q=2,p=1,type=integ,noint);
model y = x1 x2 ylag2 ylag3 / lagdep=ylag2;
model y = w x / nlag=1 garch=(p=1,q=1) initial=(1 1 1 .5 .8 .1 .6);
Chapter Contents |
Previous |
Next |
Top |
Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.