topic Re: DCC GARCH conditional correlation in SAS Forecasting and Econometrics

DCC GARCH conditional correlation

palmaj — Mon, 05 Dec 2022 13:25:07 GMT

Hello. I am using the PROC VARMAX procedure to run DCC GARCH. As per userguide: https://documentation.sas.com/doc/en/etscdc/14.2/etsug/etsug_varmax_gettingstarted10.htm

Code below. I am trying to find either a table/vector output or a plot of the conditional correlation series that is generated by the process. I have tried Plots=All in the proc statement and printall in the model statement to no avail. It's not clear that ODS has this chart/table either?

Thank you

/*--- DCC ---*/

proc varmax data=indices outest=oedcc outcov;
   model rDJIA rSP500 / noint;
   garch p=1 q=1 form=dcc outht=ohdcc;
run;

Re: DCC GARCH conditional correlation

sbxkoenk — Mon, 05 Dec 2022 18:48:27 GMT

Hello,

What version of SAS are you using?

Are you using SAS/ETS 14.2 (your help link is for 14.2)?

After SAS/ETS 14.2 a plot of the dynamic correlations was added to the VARMAX procedure (and also you can output the dynamic correlations to a data set via an ODS OUTPUT statement).

This was still experimental in SAS/ETS 15.2 (SAS 9.4 M7) , but I guess it's no longer experimental in SAS VIYA (or even SAS 9.4 M8).

In PROC VARMAX , put plots=(CONDCORR).

CONDCORR

produces dynamic conditional covariance plots. This option is available only when the DCC GARCH model is specified.

The ODS output dataset is :

DCCCorrConstant

Unconditional correlation matrix in the DCC GARCH model

CORRCONSTANT=EXPECT with FORM=DCC

If you are indeed on SAS/ETS 14.2, you can reach out to SAS Technical Support in your country.
They have a program to calculate (and plot) all this starting from the (time-varying) conditional covariance matrix :

outht=ohdcc;

Cheers,

Koen

Re: DCC GARCH conditional correlation

palmaj — Tue, 06 Dec 2022 01:45:27 GMT

Thank you. Very good point. I'm on an older version - 9.4 M3 (I think). This code delivers an error message. Perhaps even slightly before this was even in test phase?

Re: DCC GARCH conditional correlation

sbxkoenk — Tue, 06 Dec 2022 16:08:22 GMT

Hello,

I see CONDCORR is still experimental, even in the latest SAS release (which does not mean that it doesn't work properly of course).

See here :

https://go.documentation.sas.com/doc/en/pgmsascdc/v_033/etsug/etsug_varmax_syntax02.htm

So, you have 2 possibilities :
- upgrading your SAS

- reaching out to SAS Technical Support. They have a data step that calculates what you need based on outht= data set.

Good luck,

Koen