06-12-2009 03:19 AM
07-31-2012 09:52 AM
I would like to use the proc model for estimating a garch model, but I don't know how to extract the volatility estimated.
DO you find the solution to extract the volatility with this procedure?
Thanks a lot,
09-06-2014 02:19 PM
As for the cev, I think there is an easy way to get. Under PROC MODEL, in FIT statement, check "OUTRESID":
"...If the h.var equation is specified, the residual values written to the OUT= data set are the normalized residuals, defined as , divided by the square root of the h.var value..."
note that H.name variable specifies the functional form for the variance of the named equation
That means that you can derive h.var (cev) by using actual, predicted, and residual outputs.