Different outputs in different SAS versions in GARCH model under PROC AUTOREG

swapnilsoni — Thu, 22 Oct 2015 14:27:33 GMT

Following is my SAS program to build GARCH model using PROC AUTOREG:

proc autoreg data=DATASET;
model Y= X1 X2
/method=ml nlag=12 garch=(p=1,q=1) maxiter=500 dwprob;
run;

I ran this same program using same database in 2 different versions of SAS:

1) Base SAS

2) ETS SAS

Both are giving different GARCH estimates, although AUTOREG estimates are same. Please help why it is so and how to get same outputs?

Re: Different outputs in different SAS versions in GARCH model under PROC AUTOREG

udo_sas — Thu, 22 Oct 2015 22:05:41 GMT

Hello -

Thanks,

Udo