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Dynamic conditional correlation in Version 9.3

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Occasional Contributor mgm
Occasional Contributor
Posts: 10

Dynamic conditional correlation in Version 9.3

I would like to use PROC VARMAX in order to create a conditional covariance matrix using  the DCC model , which is available in more recent versions of  SAS.   However, this parameter is not available on the version of SAS that I'm running.

 

Here is the link to 13.1 support for DCC. ..

the http://support.sas.com/documentation/cdl/en/etsug/66840/HTML/default/viewer.htm#etsug_varmax_details...

 

Does anyone have a workaround ?  

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Posts: 505

Re: Dynamic conditional correlation in Version 9.3

Not at all familiar with DCC models but there appear to be some R packages. If you have IML you can interface with these packages. Just keep in mind R packages aree like the 'wild wes' and you need to check out the author?


MTS - R
https://cran.r-project.org/package=MTS
Feb 12, 2015 - ... exponentially weighted moving-average volatility, Cholesky decomposition volatility models, dynamic conditional correlation (DCC) models, ...


[PDF]Package 'MTS' - R
https://cran.r-project.org/web/packages/MTS/MTS.pdf
Feb 12, 2015 - lation (DCC) models, copula-based volatility models, and ... Multivariate Time Series Analysis with R and Financial Applications. John. Wiley.


[PDF]Package 'rmgarch'
https://cran.r-project.org/web/packages/rmgarch/rmgarch.pdf
by A Ghalanos - ‎Cited by 3 - ‎Related articles
Dec 28, 2015 - Feasible multivariate GARCH models including DCC, GO-GARCH and ... Collate rmgarch-var.R rmgarch-functions.R rmgarch-classes.R.
time series - Fitting a VARMAX model using MTS library in R - Cross ...
stats.stackexchange.com/questions/.../fitting-a-varmax-model-using-mts-library-in-r
Aug 18, 2015 - I am trying to fit a VARMAX (vector autoregressive moving-average with exogenous variables) model to some synthetically generated data ...

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