Forecasting using SAS Forecast Server, SAS/ETS, and more

Levenberg Marquardt Method in GARCH model

Reply
Contributor
Posts: 31

Levenberg Marquardt Method in GARCH model

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.

Respected Advisor
Posts: 4,920

Re: Levenberg Marquardt Method in GARCH model

The optimisation method will determine how quickly you get to the solution but should not change the solution. The difference is more likely due to the type= of GARCH model that is fitted (NELSONCAO by default). 

PG
Ask a Question
Discussion stats
  • 1 reply
  • 298 views
  • 0 likes
  • 2 in conversation