topic How how output GARCH volatility? in SAS Forecasting and Econometrics

How how output GARCH volatility?

econfkw — Tue, 18 Sep 2012 09:53:10 GMT

proc autoreg data=Vol_est;

model Mkt= /garch=(p=1,q=1);

output out=temp2;

run;

I'm estimating the market return volatility by GARCH(1,1), how can I output the estimated conditionally volatility? The code above only returns the original data.

thanks

Re: How how output GARCH volatility?

udo_sas — Thu, 20 Sep 2012 18:21:38 GMT

Hello -

You can specify certain statistics to be included in the output data set.

See http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_autoreg_syntax15.htm for details.

Thanks,

Udo