GARCH model questions

James071375 — Tue, 14 Jul 2020 01:16:28 GMT

Hi, everyone

My question is how to use SAS GARCH (1,1) to model the relation between the volatility (i.e., monthly standard deviations, Y variable) of stock market returns and my explanatory variables (X variable). For now, I use the following codes:

PROC AUTOREG DATA = DATASET;

MODEL Y = X / GARCH = (P=1, Q= 1) ;

RUN;

However, the coefficient of the X is in the opposite direction of expected results in the GARCH. For example, I expect it to be negative while it is “positive”. I wonder what went wrong in the above model. On the other hand, in the general OLS model, the result (i.e., the coefficient for X) meets my theoretical expectations.

Thank you for your reply in advance. Look forward to hearing from you.

topic GARCH model questions in SAS Forecasting and Econometrics

GARCH model questions