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James071375
Fluorite | Level 6

Hi, folks

 

I ran the following GARCH model programs.

 

PROC AUTOREG DATA = COMBINED;
MODEL STD = / GARCH = (P=1, Q= 1) ;
HETERO SNMT / COEF = NONNEG;
RUN;

 

COMBINED6 is my dataset. STD the monthly standard deviation calculated by daily returns within a month.
SNMT is the independent variable. I'd like to know the relation between STD and SNMT.

 

GARCH Estimates
SSE 534.553909 Observations 1110
MSE 0.48158 Uncond Var .
Log Likelihood -707.84869 Total R-Square .
SBC 1450.75795 AIC 1425.69737
MAE 0.39453106 AICC 1425.75172
MAPE 36.4932082 HQC 1435.17376
Normality Test 9154.3657
Pr > ChiSq <.0001

 

Parameter Estimates
Variable DF Estimate Standard
Error t Value Approx
Pr > |t|
Intercept 1 0.6879 0.009208 74.71 <.0001
ARCH0 1 0.0660 0.006499 10.15 <.0001
ARCH1 1 1.2297 0.0611 20.14 <.0001
GARCH1 1 0.0338 0.0260 1.30 0.1929
HET1 1 0.0000771 0.0000452 1.71 0.0879

 

Could anyone know how to interpret the results? It appears that it didn't show the relation I expect between SNMT and STD. By the way, when I used the OLS regression model, SNMT is significantly negatively related to STD and that's expected results I want. If you any thought, suggestion, or comment, please feel free to let me know. Thank you for your help in advance.

3 REPLIES 3
Ksharp
Super User
Please post it at Forecasting Forum .
James071375
Fluorite | Level 6
Thank you for your reminder. I appreciate it.
James071375
Fluorite | Level 6
Thank you for your reminder. I appreciate it. I've posted it on the Forecasting and Econometrics Forum.

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