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GARCH modelling using PROC AUTOREG and PROC MODEL

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GARCH modelling using PROC AUTOREG and PROC MODEL

I am performing garch modeling using proc autoreg and proc model. I have the following questions:

  1. In proc autoreg, I can specify the GARCH model type (GARCH=(p=, q=1, type=stationary) or (GARCH=(p=, q=1, type=GJRGARCH). Is it possible to specify type as stationary and GJRGARCH at the same time?
  2. Can I use CEV option to generate out of sample forecast in proc autoreg? If I use Proc model, how can I generate out of sample forecasts?

Please help. Thanks.

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