Different outputs in different SAS versions in GARCH model under PROC AUTOREG

[swapnilsoni]

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?

[udo_sas]

Hello -

@Haikuo responded to a similar (the same?) question here: https://communities.sas.com/t5/Forecasting-and-Econometrics/Difference-in-SAS-Enterprise-Guide-5-1-a...

Thanks,

Udo