Hello,
I have raw daily returns data for about 10 countries. For each country, I wish to compute conditional volatility using the model GARCH(1,1).
Would this be the right code?
Proc autoreg data=daily_return outest=est;
model daily_return= / garch=(q=1, p=1); by country;
output out=conditional_var cev=vhat; run; quit;
data conditional_vol; gc; conditional_vol=sqrt(vhat); run;
Thank you-