Levenberg Marquardt Method in GARCH model

BingL — Sat, 26 Mar 2016 18:37:54 GMT

Hello to whoever can help

please review the following program

proc autoreg data=exam4_1;
	model Rtn = / method=ml archtest
				garch=(p=1, q=1);
	output out=FTSE100 r=ehat_garch ht=hgarch;
	title "Estimate GARCH(1,1) Model and Forecast Volatility";
run;

I kinda doult that the moethd=ml is using the Levenberg-Marquardt Algorithm, because the result numbers are not close from those of my book.

If not, how to use Levenberg-Marquardt method in PROC AUTOREG.

Thank you.

Re: Levenberg Marquardt Method in GARCH model

PGStats — Sun, 27 Mar 2016 02:49:44 GMT

The optimisation method will determine how quickly you get to the solution but should not change the solution. The difference is more likely due to the type= of GARCH model that is fitted (NELSONCAO by default).

topic Levenberg Marquardt Method in GARCH model in SAS Forecasting and Econometrics

Levenberg Marquardt Method in GARCH model

Re: Levenberg Marquardt Method in GARCH model