08-20-2016 06:20 PM - edited 08-20-2016 06:39 PM
The DCC-GARCH model proposed by Engle (2002) has two steps: first use GARCH model to estimate the conditional variance, then use the results from the first step to estimate conditional correlation. The following is the model.
Now I wanna run simulation (e.g. B=100 times, sample with replacement) for each id-month combination in the attached sample data (the simulation is applying the DCC-GARCH model to generate B simulated data series). Is there anyway to modify the following code to include simulation function? (I found there are a few codes for DCC-GARCH model simulation, however they are either in R, STATA or MATLAB, which I know little about).
*use DCC (1,1) - GARCH (1,1);
proc varmax data=have method=ml outest=a1_est outcov outstat=a2_stat;
by id year month;
model y1 y2;
garch q=1 p=1 form=dcc;
Thanks a lot for all your kindly help.
08-24-2016 08:14 AM
I've spoken with Tech Support and they suggest you open a track. They'd like to clarify exactly what you want or need to do.
You can open a track here: https://support.sas.com/ctx/supportform/createForm
Best of luck,