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
View solution in original post
Available on demand!
Missed SAS Innovate Las Vegas? Watch all the action for free! View the keynotes, general sessions and 22 breakouts on demand.
Register now!
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.