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osama78
Calcite | Level 5 osama78
Calcite | Level 5

estimate garch by gmm

Posted 02-17-2021 03:10 PM (609 views)

 how to estimate GARCH model using GMM in Proc Model

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joseenrique1
SAS Employee joseenrique1
SAS Employee

Re: estimate garch by gmm

Posted 02-20-2021 09:38 PM (496 views)  |   In reply to osama78

Hi, 

 

You can use the Autoreg procedure or the Model procedure. Here are some examples: https://support.sas.com/rnd/app/ets/examples/garchex/index.html 

 

Hope that this can help.

 

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  • ‎02-17-2021 03:10 PM
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