I have the following time series.
data have;
do i=1 to 50;
if i=25 then x=.;
else x=rannor(1);
output;
end;
run;
So the 25th observation is missing. When AUTOREG estimates GARCH as follows,
proc autoreg noprint;
model x=/garch=(q=1,p=1,type=exp);
output ht=h out=have;
run;
SAS computes the 26th conditional variance despite the missing in 25. How can SAS compute h(26) without e(25)? I am reading the AUTOREG manual but couldn't find the answer yet.
P.S. How does AUTOREG compute the EGARCH unconditional variance? There is no reference in the manual.