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How to simulate DCC-GARCH

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Frequent Contributor
Posts: 130

How to simulate DCC-GARCH

[ Edited ]

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.

 

DCC GARCH model.png

 

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;
run;

 

Thanks a lot for all your kindly help.

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Community Manager
Posts: 347

Re: How to simulate DCC-GARCH

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,

Shelley

Frequent Contributor
Posts: 130

Re: How to simulate DCC-GARCH

Thank you so much Shelley for your kindly help! I will open a track as you suggested.

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