topic Input to GARCH estimation in SAS Forecasting and Econometrics https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Input-to-GARCH-estimation/m-p/82578#M410 <HTML><HEAD></HEAD><BODY><P>Dear all,</P><P></P><P>I want to fit a bivariate GARCH BEKK model to two price series, like in the SAS user guide <A href="http://support.sas.com/documentation/cdl/en/etsug/63348/HTML/default/viewer.htm#etsug_varmax_sect037.htm" title="http://support.sas.com/documentation/cdl/en/etsug/63348/HTML/default/viewer.htm#etsug_varmax_sect037.htm">SAS/ETS(R) 9.22 User's Guide</A></P><P></P><P>The user duide mentions the following code:</P><P></P><P>model y1 y2;</P><P>garch q=1 p=1 form=bekk;</P><P></P><P>With y1 and y2, does the guide refer to the price series itself? </P><P></P><P>Or do I need to input the residuals from an AR process?</P></BODY></HTML> Sat, 14 Sep 2013 11:35:37 GMT DaanUtrecht 2013-09-14T11:35:37Z Input to GARCH estimation https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Input-to-GARCH-estimation/m-p/82578#M410 <HTML><HEAD></HEAD><BODY><P>Dear all,</P><P></P><P>I want to fit a bivariate GARCH BEKK model to two price series, like in the SAS user guide <A href="http://support.sas.com/documentation/cdl/en/etsug/63348/HTML/default/viewer.htm#etsug_varmax_sect037.htm" title="http://support.sas.com/documentation/cdl/en/etsug/63348/HTML/default/viewer.htm#etsug_varmax_sect037.htm">SAS/ETS(R) 9.22 User's Guide</A></P><P></P><P>The user duide mentions the following code:</P><P></P><P>model y1 y2;</P><P>garch q=1 p=1 form=bekk;</P><P></P><P>With y1 and y2, does the guide refer to the price series itself? </P><P></P><P>Or do I need to input the residuals from an AR process?</P></BODY></HTML> Sat, 14 Sep 2013 11:35:37 GMT https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/Input-to-GARCH-estimation/m-p/82578#M410 DaanUtrecht 2013-09-14T11:35:37Z