Predicting conditional variance

[amanjot_42]

Hello Everyone,

I am trying to come up with the predicted values of conditional variance by using the following code:

proc autoreg data = want;
by year;
model stock_returns = / garch = ( q=1,p=1 );
output out=var predicted=variance;
run;
quit;

My data contains daily observations of Stock X returns. I want to run this GARCH model on yearly basis. The problem is this code generates predicted values of stock returns and not the predicted values of conditional variance. Can you please help in this regard?

Regards,

Aman

[Ksharp]

Plz post it at Forecast Forum , proc autoreg is under SAS/ETS module .

[sbxkoenk · Accepted solution]

Hello @amanjot_42 ,

The CEV= option in the OUTPUT statement stores the estimated conditional error variance at each time period in the variable VHAT in an output data set named OUT.

The below is just an example (not related to your data!).

proc autoreg data=c;
  model y = time / nlag=2 garch=(q=1,p=1) maxit=50;
  output out=out cev=vhat;
run;

Kind regards,

Koen

[amanjot_42]

Thank you so much, Koen,
This works perfectly well!
Regards,
Aman