Proc arima: how to integrate ARCH/GARCH

lxl65 — Mon, 27 Nov 2017 18:59:23 GMT

Dear All

I am fitting an ARIMA model ( which include 1 dependent variable and 2 exogenous independent variables). However the residuals display heteroscedasticity (i.e., residuals variance not constant). I am thinking of using ARCH/GARCH approach in my model fitting, but it seems that proc arima has no ARCH/GARCH options.

I know proc autoreg has ARCH/GARCH options, but it will not help in my case, as my model has both AR and MA terms.

Can anyone suggest an approach how to integrate Proc ARIMA and ARCH/GARCH?

Thanks a lot in advance!

Re: Proc arima: how to integrate ARCH/GARCH

rselukar — Tue, 28 Nov 2017 20:16:30 GMT

You are correct. PROC ARIMA does not support ARCH/GARCH type models. Even though your problem is univariate, you could check if the GARCH statement in PROC VARMAX satisfies your needs.

topic Proc arima: how to integrate ARCH/GARCH in SAS Forecasting and Econometrics

Proc arima: how to integrate ARCH/GARCH

Re: Proc arima: how to integrate ARCH/GARCH