BookmarkSubscribeRSS Feed
James071375
Fluorite | Level 6

Hi, everyone

 

My question is how to use SAS GARCH (1,1) to model the relation between the volatility (i.e., monthly standard deviations, Y variable) of stock market returns and my explanatory variables (X variable). For now, I use the following codes:

 

PROC AUTOREG DATA = DATASET;

MODEL Y = X / GARCH = (P=1, Q= 1) ;

RUN;

However, the coefficient of the X is in the opposite direction of expected results in the GARCH. For example, I expect it to be negative while it is “positive”. I wonder what went wrong in the above model. On the other hand, in the general OLS model, the result (i.e., the coefficient for X) meets my theoretical expectations.

 

Thank you for your reply in advance. Look forward to hearing from you.

sas-innovate-2024.png

Don't miss out on SAS Innovate - Register now for the FREE Livestream!

Can't make it to Vegas? No problem! Watch our general sessions LIVE or on-demand starting April 17th. Hear from SAS execs, best-selling author Adam Grant, Hot Ones host Sean Evans, top tech journalist Kara Swisher, AI expert Cassie Kozyrkov, and the mind-blowing dance crew iLuminate! Plus, get access to over 20 breakout sessions.

 

Register now!

Multiple Linear Regression in SAS

Learn how to run multiple linear regression models with and without interactions, presented by SAS user Alex Chaplin.

Find more tutorials on the SAS Users YouTube channel.

Discussion stats
  • 0 replies
  • 266 views
  • 0 likes
  • 1 in conversation