topic Predicting conditional variance in SAS Forecasting and Econometrics

Predicting conditional variance

amanjot_42 — Sat, 26 Mar 2022 03:38:36 GMT

Hello Everyone,

I am trying to come up with the predicted values of conditional variance by using the following code:

proc autoreg data = want;
by year;
model stock_returns = / garch = ( q=1,p=1 );
output out=var predicted=variance;
run;
quit;

My data contains daily observations of Stock X returns. I want to run this GARCH model on yearly basis. The problem is this code generates predicted values of stock returns and not the predicted values of conditional variance. Can you please help in this regard?

Regards,

Aman

Re: Predicting conditional variance

Ksharp — Sat, 26 Mar 2022 11:18:25 GMT

Plz post it at Forecast Forum , proc autoreg is under SAS/ETS module .

Re: Predicting conditional variance

sbxkoenk — Sat, 26 Mar 2022 12:42:21 GMT

Hello @amanjot_42 ,

The CEV= option in the OUTPUT statement stores the estimated conditional error variance at each time period in the variable VHAT in an output data set named OUT.

The below is just an example (not related to your data!).

proc autoreg data=c;
  model y = time / nlag=2 garch=(q=1,p=1) maxit=50;
  output out=out cev=vhat;
run;

Kind regards,

Koen

Re: Predicting conditional variance

amanjot_42 — Sat, 26 Mar 2022 17:19:48 GMT

Thank you so much, Koen,
This works perfectly well!
Regards,
Aman