Hello to whoever can help
please review the following program
proc autoreg data=exam4_1;
model Rtn = / method=ml archtest
garch=(p=1, q=1);
output out=FTSE100 r=ehat_garch ht=hgarch;
title "Estimate GARCH(1,1) Model and Forecast Volatility";
run;
I kinda doult that the moethd=ml is using the Levenberg-Marquardt Algorithm, because the result numbers are not close from those of my book.
If not, how to use Levenberg-Marquardt method in PROC AUTOREG.
Thank you.