topic Re: explanatory variables in garch variance equation in SAS Forecasting and Econometrics

explanatory variables in garch variance equation

econfkw — Wed, 13 Mar 2013 16:21:29 GMT

Here is my code:

proc autoreg data=aaaaa;

model y=x1 x2 / garch(p=1,q=1);

hetero d1 d2;

run;

Convergence is not a problem, but the het1 and het2 coefficients are . (missing value). What does it mean?

udo_sas — Thu, 14 Mar 2013 13:10:47 GMT

Hello -

This might be a Technical Support issue - difficult to judge with the current amount of information you shared.

Would it be possible to share you data as well? Alternatively you might consider contacting Technical Support.

Thanks,

Udo