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swapnilsoni
Fluorite | Level 6

Following is my SAS program to build GARCH model using PROC AUTOREG:

proc autoreg data=DATASET;
model Y= X1 X2
/method=ml nlag=12 garch=(p=1,q=1) maxiter=500 dwprob;
run;

I ran this same program using same database in 2 different versions of SAS:

1) Base SAS

2) ETS SAS

Both are giving different GARCH estimates, although AUTOREG estimates are same. Please help why it is so and how to get same outputs?

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