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explanatory variables in garch variance equation

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Contributor
Posts: 23

explanatory variables in garch variance equation

Here is my code:

proc autoreg data=aaaaa;

model y=x1 x2 / garch(p=1,q=1);

hetero d1 d2;

run;

Convergence is not a problem, but the het1 and het2 coefficients are . (missing value). What does it mean?

SAS Employee
Posts: 416

Re: explanatory variables in garch variance equation

Hello -

This might be a Technical Support issue - difficult to judge with the current amount of information you shared.

Would it be possible to share you data as well? Alternatively you might consider contacting Technical Support.

Thanks,

Udo

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