topic GARCH(1,1) and IML in SAS/IML Software and Matrix Computations https://communities.sas.com/t5/SAS-IML-Software-and-Matrix/GARCH-1-1-and-IML/m-p/168318#M1647 <HTML><HEAD></HEAD><BODY><P>I want to estimate a GARCH(1,1) model in IML because I want to use some numerical derivative subroutine of IML. In addition, I have a multi-step estimation system. I need to adjust the covariance matrix according to Newey and Mcfadden (1994) chapter 36 of Handbook of Econometrics. Anyone has any idea how to implement it in IML? Any comment is appreciated. Thank you in advance.</P></BODY></HTML> Fri, 04 Apr 2014 08:19:03 GMT Hanyu 2014-04-04T08:19:03Z GARCH(1,1) and IML https://communities.sas.com/t5/SAS-IML-Software-and-Matrix/GARCH-1-1-and-IML/m-p/168318#M1647 <HTML><HEAD></HEAD><BODY><P>I want to estimate a GARCH(1,1) model in IML because I want to use some numerical derivative subroutine of IML. In addition, I have a multi-step estimation system. I need to adjust the covariance matrix according to Newey and Mcfadden (1994) chapter 36 of Handbook of Econometrics. Anyone has any idea how to implement it in IML? Any comment is appreciated. Thank you in advance.</P></BODY></HTML> Fri, 04 Apr 2014 08:19:03 GMT https://communities.sas.com/t5/SAS-IML-Software-and-Matrix/GARCH-1-1-and-IML/m-p/168318#M1647 Hanyu 2014-04-04T08:19:03Z Re: GARCH(1,1) and IML https://communities.sas.com/t5/SAS-IML-Software-and-Matrix/GARCH-1-1-and-IML/m-p/168319#M1648 <HTML><HEAD></HEAD><BODY><P>Why can't you use proc model? For example, see <A href="http://support.sas.com/rnd/app/examples/ets/garchex/">here</A>.</P></BODY></HTML> Mon, 21 Apr 2014 00:51:06 GMT https://communities.sas.com/t5/SAS-IML-Software-and-Matrix/GARCH-1-1-and-IML/m-p/168319#M1648 stoffprof 2014-04-21T00:51:06Z