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osama78
Calcite | Level 5 osama78
Calcite | Level 5

estimate garch by gmm

Posted 02-16-2021 08:09 AM (1786 views)

 how to estimate GARCH model using GMM in Proc Model

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SteveDenham
Jade | Level 19 SteveDenham
Jade | Level 19

Re: estimate garch by gmm

Posted 02-16-2021 08:40 AM (1759 views)  |   In reply to osama78

I would recommend looking through the examples in the PROC MODEL documentation, with special attention to the FIT statement,

 

SteveDenham

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Ksharp
Super User Ksharp
Super User

Re: estimate garch by gmm

Posted 02-16-2021 08:41 AM (1755 views)  |   In reply to osama78
Better post it at Forecast Forum, since it is under SAS/ETS .
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osama78
Calcite | Level 5 osama78
Calcite | Level 5

Re: estimate garch by gmm

Posted 02-17-2021 04:16 PM (1650 views)  |   In reply to Ksharp
thanks
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  • 3 replies
  • ‎02-16-2021 08:09 AM
  • 1787 views
  • 2 likes
  • 3 in conversation