estimating conditional variance using GARCH from daily returns

kky6196 — Thu, 19 Sep 2024 02:02:19 GMT

Hello,

I have raw daily returns data for about 10 countries. For each country, I wish to compute conditional volatility using the model GARCH(1,1).

Would this be the right code?

Proc autoreg data=daily_return outest=est;

model daily_return= / garch=(q=1, p=1); by country;

output out=conditional_var cev=vhat; run; quit;

data conditional_vol; gc; conditional_vol=sqrt(vhat); run;

Thank you-

Re: estimating conditional variance using GARCH from daily returns

Ksharp — Thu, 19 Sep 2024 03:32:14 GMT