estimating conditional variance using GARCH from daily returns

[kky6196]

Hello,

I have raw daily returns data for about 10 countries. For each country, I wish to compute conditional volatility using the model GARCH(1,1).

Would this be the right code?

Proc autoreg data=daily_return outest=est;

model daily_return= / garch=(q=1, p=1); by country;

output out=conditional_var cev=vhat; run; quit;

data conditional_vol; gc; conditional_vol=sqrt(vhat); run;

Thank you-

[Ksharp]

Better post it at Forecasting Forum:
https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/bd-p/forecasting_econometrics