Given one data set containing two columns, exchangeRate and stockReturn (will need by groups for all countries in your example):
Proc varmax data=one;
Model exchangeRate stockReturn = / p=1; /* VAR(1) with constant mean */
Garch p=1 q=1 form=BEKK; /* BEKK GARCH(1,1) */
Note that in proc varmax, we calculate constant term, C’C, in garch equation in equation (2) as one symmetric matrix. If the user wants to repeat the paper, he can apply Cholesky decomposition on the constant matrix (by using IML for example).
I hope this helps. Also, please contact SAS tech support should you require additional help getting started with VARMAX.
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