topic Re: how to compute EGARCH and save the parameter values? in SAS Programming https://communities.sas.com/t5/SAS-Programming/how-to-compute-EGARCH-and-save-the-parameter-values/m-p/597990#M172381 <P>dear Mr.VDD&nbsp;</P><P>though the data is same, the analysis to be done is different. in the previous,one had to compute skewness, kurtosis and Standard Deviation. In this query, i am asking about how to compute EGARCH(i.e, Exponential Generalized autoregressive conditional heteroskedasticity).&nbsp;</P><P>&nbsp;</P><P>thanking you&nbsp;</P> Sun, 20 Oct 2019 17:18:10 GMT srikanthyadav44 2019-10-20T17:18:10Z how to compute EGARCH and save the parameter values? https://communities.sas.com/t5/SAS-Programming/how-to-compute-EGARCH-and-save-the-parameter-values/m-p/597978#M172373 <P>dear all,&nbsp;</P><P>i have to run EGARCH by using &nbsp;Nelson(1991) model on the returns of 100 stocks and to save the parameter values in a separate file.&nbsp;</P><P>How to do it in SAS.&nbsp;</P><P>&nbsp;</P><P>&nbsp;</P><P>The input format is as follows&nbsp;</P><TABLE border="0" cellspacing="0" cellpadding="0"><TBODY><TR><TD>Date</TD><TD>X1</TD><TD>X2</TD><TD>X3</TD><TD>………..</TD><TD>X100</TD></TR><TR><TD>1-Jan-18</TD><TD>0.27</TD><TD>-1.33</TD><TD>-1.77</TD><TD>………..</TD><TD>-0.33</TD></TR><TR><TD>2-Jan-18</TD><TD>-1.06</TD><TD>0.17</TD><TD>-0.06</TD><TD>………..</TD><TD>-2.15</TD></TR><TR><TD>3-Jan-18</TD><TD>0.17</TD><TD>-1.63</TD><TD>-0.54</TD><TD>………..</TD><TD>0.32</TD></TR><TR><TD>4-Jan-18</TD><TD>-0.1</TD><TD>0.72</TD><TD>2.26</TD><TD>………..</TD><TD>0.93</TD></TR><TR><TD>5-Jan-18</TD><TD>0.6</TD><TD>0.47</TD><TD>3.45</TD><TD>………..</TD><TD>3.25</TD></TR><TR><TD>8-Jan-18</TD><TD>0.39</TD><TD>-0.13</TD><TD>1.23</TD><TD>………..</TD><TD>-4.38</TD></TR><TR><TD>9-Jan-18</TD><TD>-0.03</TD><TD>-0.98</TD><TD>-0.94</TD><TD>………..</TD><TD>-1.27</TD></TR><TR><TD>10-Jan-18</TD><TD>-0.44</TD><TD>-1.11</TD><TD>-0.95</TD><TD>………..</TD><TD>-0.67</TD></TR><TR><TD>11-Jan-18</TD><TD>-0.72</TD><TD>-0.44</TD><TD>-1.21</TD><TD>………..</TD><TD>1.65</TD></TR><TR><TD>12-Jan-18</TD><TD>-0.65</TD><TD>-0.57</TD><TD>-0.58</TD><TD>………..</TD><TD>-1.01</TD></TR><TR><TD>15-Jan-18</TD><TD>0.98</TD><TD>-0.29</TD><TD>-1.8</TD><TD>………..</TD><TD>-0.99</TD></TR><TR><TD>16-Jan-18</TD><TD>0.47</TD><TD>-0.19</TD><TD>-2.92</TD><TD>………..</TD><TD>-1.44</TD></TR><TR><TD>17-Jan-18</TD><TD>3.91</TD><TD>1.08</TD><TD>0.82</TD><TD>………..</TD><TD>0.53</TD></TR><TR><TD>18-Jan-18</TD><TD>-0.07</TD><TD>0.22</TD><TD>-2.38</TD><TD>………..</TD><TD>-0.98</TD></TR><TR><TD>19-Jan-18</TD><TD>0.93</TD><TD>0.29</TD><TD>2.48</TD><TD>………..</TD><TD>0.59</TD></TR><TR><TD>22-Jan-18</TD><TD>3.61</TD><TD>2</TD><TD>0.26</TD><TD>………..</TD><TD>-1.45</TD></TR><TR><TD>23-Jan-18</TD><TD>1.4</TD><TD>0.66</TD><TD>0.14</TD><TD>………..</TD><TD>0.29</TD></TR><TR><TD>24-Jan-18</TD><TD>-1.96</TD><TD>1.38</TD><TD>1.78</TD><TD>………..</TD><TD>-6.62</TD></TR><TR><TD>25-Jan-18</TD><TD>1.34</TD><TD>-0.89</TD><TD>-1.66</TD><TD>………..</TD><TD>-1.48</TD></TR><TR><TD>29-Jan-18</TD><TD>-1.71</TD><TD>1.58</TD><TD>0.29</TD><TD>………..</TD><TD>-2.67</TD></TR><TR><TD>30-Jan-18</TD><TD>-1.95</TD><TD>-0.17</TD><TD>-2.15</TD><TD>………..</TD><TD>0.64</TD></TR><TR><TD>31-Jan-18</TD><TD>-0.03</TD><TD>-0.63</TD><TD>-0.03</TD><TD>………..</TD><TD>-0.17</TD></TR></TBODY></TABLE><P>&nbsp;</P><P>the output should be as follows&nbsp;</P><TABLE><TBODY><TR><TD>Stock&nbsp;</TD><TD>Constant</TD><TD>parameter1</TD><TD>parameter2</TD><TD>parameter3</TD></TR><TR><TD>X1</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD></TR><TR><TD>X2</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD></TR><TR><TD>X3</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD></TR><TR><TD>…</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD></TR><TR><TD>…</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD></TR><TR><TD>…</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD></TR><TR><TD>…</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD></TR><TR><TD>…</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD></TR><TR><TD>…</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD></TR><TR><TD>X100</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD><TD>&nbsp;</TD></TR></TBODY></TABLE> Sun, 20 Oct 2019 12:25:50 GMT https://communities.sas.com/t5/SAS-Programming/how-to-compute-EGARCH-and-save-the-parameter-values/m-p/597978#M172373 srikanthyadav44 2019-10-20T12:25:50Z Re: how to compute EGARCH and save the parameter values? https://communities.sas.com/t5/SAS-Programming/how-to-compute-EGARCH-and-save-the-parameter-values/m-p/597987#M172379 Sun, 20 Oct 2019 18:23:12 GMT https://communities.sas.com/t5/SAS-Programming/how-to-compute-EGARCH-and-save-the-parameter-values/m-p/597987#M172379 VDD 2019-10-20T18:23:12Z Re: how to compute EGARCH and save the parameter values? https://communities.sas.com/t5/SAS-Programming/how-to-compute-EGARCH-and-save-the-parameter-values/m-p/597990#M172381 <P>dear Mr.VDD&nbsp;</P><P>though the data is same, the analysis to be done is different. in the previous,one had to compute skewness, kurtosis and Standard Deviation. In this query, i am asking about how to compute EGARCH(i.e, Exponential Generalized autoregressive conditional heteroskedasticity).&nbsp;</P><P>&nbsp;</P><P>thanking you&nbsp;</P> Sun, 20 Oct 2019 17:18:10 GMT https://communities.sas.com/t5/SAS-Programming/how-to-compute-EGARCH-and-save-the-parameter-values/m-p/597990#M172381 srikanthyadav44 2019-10-20T17:18:10Z Re: how to compute EGARCH and save the parameter values? https://communities.sas.com/t5/SAS-Programming/how-to-compute-EGARCH-and-save-the-parameter-values/m-p/598122#M172438 <P>Better Post it at Forecast forum ,since it is about SAS/ETS .</P> Mon, 21 Oct 2019 13:22:05 GMT https://communities.sas.com/t5/SAS-Programming/how-to-compute-EGARCH-and-save-the-parameter-values/m-p/598122#M172438 Ksharp 2019-10-21T13:22:05Z