06-27-2016 01:00 AM
I was wondering if anyone had any advice on getting the dynamic conditional correlation after running the varmax procedure with form=dcc; what I am trying to do get is the dynamic conditional correlation plotted over time, I want to get the vector of the coefficients so I could do a procedure call (sgplot) to plot those.
proc varmax data =wipsa.prin_glob_sa plots=all;
model Prin1_global Prin1_SA;
garch q=1 form=dcc;
nloptions technique = quanew maxit=500;
I followed the SAS/ETS(R) 14.1 User's Guide using the Euro Foreign Exchange as a guide.
Thank you in advance!