https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-estimate-a-component-GARCH-CGARCH/m-p/42169#M187 I would like to estimate the component GARCH model proposed by Engle &amp; Lee (1999) A long-run and short-run component model of stock return volatility. How can I do it? thanks. Wed, 27 Aug 2008 21:34:50 GMT Christine 2008-08-27T21:34:50Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-estimate-a-component-GARCH-CGARCH/m-p/42169#M187 I would like to estimate the component GARCH model proposed by Engle &amp; Lee (1999) A long-run and short-run component model of stock return volatility. How can I do it? thanks. Wed, 27 Aug 2008 21:34:50 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-estimate-a-component-GARCH-CGARCH/m-p/42169#M187 Christine 2008-08-27T21:34:50Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-estimate-a-component-GARCH-CGARCH/m-p/42170#M188 Yes, please check out this usage note: <A href="http://support.sas.com/kb/22/093.html" target="_blank">http://support.sas.com/kb/22/093.html</A><BR /> Regards,<BR /> Udo Fri, 26 Sep 2008 14:53:26 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-estimate-a-component-GARCH-CGARCH/m-p/42170#M188 udo_sas 2008-09-26T14:53:26Z https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-estimate-a-component-GARCH-CGARCH/m-p/42171#M189 PS: After reading your subject properly <span class="lia-unicode-emoji" title=":slightly_smiling_face:">🙂</span> I'd like to add that these types of GARCH models are currently supported by PROC AUTOREG:<BR /> * generalized ARCH (GARCH), <BR /> * integrated GARCH (IGARCH), <BR /> * exponential GARCH (EGARCH)<BR /> * GARCH-in-mean(GARCH-M) Fri, 26 Sep 2008 15:05:33 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/How-to-estimate-a-component-GARCH-CGARCH/m-p/42171#M189 udo_sas 2008-09-26T15:05:33Z