topic DCC Garch conditional correlation in Statistical Procedures

DCC Garch conditional correlation

palmaj — Mon, 05 Dec 2022 01:35:16 GMT

Hello. I am using the PROC VARMAX procedure to run DCC GARCH. As per userguide: https://documentation.sas.com/doc/en/etscdc/14.2/etsug/etsug_varmax_gettingstarted10.htm

Code below. I am trying to find either a table/vector output or a plot of the conditional correlation series that is generated by the process. I have tried Plots=All in the proc statement and printall in the model statement to no avail. It's not clear that ODS has this chart/table either?

Thank you

/*--- DCC ---*/

proc varmax data=indices outest=oedcc outcov;
   model rDJIA rSP500 / noint;
   garch p=1 q=1 form=dcc outht=ohdcc;
run;

Re: DCC Garch conditional correlation

Ksharp — Mon, 05 Dec 2022 07:57:10 GMT

Better post it at Forecasting Forum, since this PROC is under SAS/ETS module.
https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/bd-p/forecasting_econometrics

Re: DCC Garch conditional correlation

palmaj — Mon, 05 Dec 2022 13:25:49 GMT

Thank you.