proc autoreg data=Vol_est;
model Mkt= /garch=(p=1,q=1);
output out=temp2;
run;
I'm estimating the market return volatility by GARCH(1,1), how can I output the estimated conditionally volatility? The code above only returns the original data.
thanks
Hello -
You can specify certain statistics to be included in the output data set.
See http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_autoreg_syntax... for details.
Thanks,
Udo
Hello -
You can specify certain statistics to be included in the output data set.
See http://support.sas.com/documentation/cdl/en/etsug/65545/HTML/default/viewer.htm#etsug_autoreg_syntax... for details.
Thanks,
Udo
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