BookmarkSubscribeRSS Feed
DaanUtrecht
Calcite | Level 5

Dear all,

I want to fit a bivariate GARCH BEKK model to two price series, like in the SAS user guide SAS/ETS(R) 9.22 User's Guide

The user duide mentions the following code:

model y1 y2;

garch q=1 p=1 form=bekk;

With y1 and y2, does the guide refer to the price series itself?

Or do I need to input the residuals from an AR process?

SAS INNOVATE 2024

Innovate_SAS_Blue.png

Registration is open! SAS is returning to Vegas for an AI and analytics experience like no other! Whether you're an executive, manager, end user or SAS partner, SAS Innovate is designed for everyone on your team. Register for just $495 by 12/31/2023.

If you are interested in speaking, there is still time to submit a session idea. More details are posted on the website. 

Register now!

Multiple Linear Regression in SAS

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.

Discussion stats
  • 0 replies
  • 856 views
  • 0 likes
  • 1 in conversation