My data currently look like this:
Time To Maturity Volatility
I am looking to run the following three tests on my data and want to make sure I am doing so correctly.
1.Jonckheere-Terpstra test To examine if the volatility increases as a contract approaches maturity
2.Newy West Heteroskedasticity Consistent Covariance Procedure To regress the daily future realised volatility on a constant and the number of days until the contract matures.
3.GARCH (1, 1) model
I want to make sure I am coding this correctly in order to ascertain that the results are correct. I have managed to get answer on how to run my first test from the SAS Statistical Discussion, any assistance on how to run the 2nd and 3rd test will be appreciated.
For Newey-west SE's.
PROC AUTOREG DATA=work.data;
MODEL y = x / GARCH=(q=1,p=1) covest=neweywest;
For #1, look here SAS/STAT(R) 14.1 User's Guide
You'll have to estimate that test statistic outside AUTOREG. (Oh i just saw your note. Oh well, for everyone else and me )
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Best of luck-Ken
Thanks for all your assistance - it is greatly appreciated. I have managed to run all three tests, but I have a question relating to the confidence interval... How do I know what the confidence interval is that the tests are assuming? Or do I have to specify one? If so where?
Thanks in advance
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