03-26-2016 02:37 PM
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.
03-26-2016 10:49 PM
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).