dear all,
i have to run EGARCH by using Nelson(1991) model on the returns of 100 stocks and to save the parameter values in a separate file.
How to do it in SAS.
The input format is as follows
Date | X1 | X2 | X3 | ……….. | X100 |
1-Jan-18 | 0.27 | -1.33 | -1.77 | ……….. | -0.33 |
2-Jan-18 | -1.06 | 0.17 | -0.06 | ……….. | -2.15 |
3-Jan-18 | 0.17 | -1.63 | -0.54 | ……….. | 0.32 |
4-Jan-18 | -0.1 | 0.72 | 2.26 | ……….. | 0.93 |
5-Jan-18 | 0.6 | 0.47 | 3.45 | ……….. | 3.25 |
8-Jan-18 | 0.39 | -0.13 | 1.23 | ……….. | -4.38 |
9-Jan-18 | -0.03 | -0.98 | -0.94 | ……….. | -1.27 |
10-Jan-18 | -0.44 | -1.11 | -0.95 | ……….. | -0.67 |
11-Jan-18 | -0.72 | -0.44 | -1.21 | ……….. | 1.65 |
12-Jan-18 | -0.65 | -0.57 | -0.58 | ……….. | -1.01 |
15-Jan-18 | 0.98 | -0.29 | -1.8 | ……….. | -0.99 |
16-Jan-18 | 0.47 | -0.19 | -2.92 | ……….. | -1.44 |
17-Jan-18 | 3.91 | 1.08 | 0.82 | ……….. | 0.53 |
18-Jan-18 | -0.07 | 0.22 | -2.38 | ……….. | -0.98 |
19-Jan-18 | 0.93 | 0.29 | 2.48 | ……….. | 0.59 |
22-Jan-18 | 3.61 | 2 | 0.26 | ……….. | -1.45 |
23-Jan-18 | 1.4 | 0.66 | 0.14 | ……….. | 0.29 |
24-Jan-18 | -1.96 | 1.38 | 1.78 | ……….. | -6.62 |
25-Jan-18 | 1.34 | -0.89 | -1.66 | ……….. | -1.48 |
29-Jan-18 | -1.71 | 1.58 | 0.29 | ……….. | -2.67 |
30-Jan-18 | -1.95 | -0.17 | -2.15 | ……….. | 0.64 |
31-Jan-18 | -0.03 | -0.63 | -0.03 | ……….. | -0.17 |
the output should be as follows
Stock | Constant | parameter1 | parameter2 | parameter3 |
X1 | ||||
X2 | ||||
X3 | ||||
… | ||||
… | ||||
… | ||||
… | ||||
… | ||||
… | ||||
X100 |
Better Post it at Forecast forum ,since it is about SAS/ETS .
dear Mr.VDD
though the data is same, the analysis to be done is different. in the previous,one had to compute skewness, kurtosis and Standard Deviation. In this query, i am asking about how to compute EGARCH(i.e, Exponential Generalized autoregressive conditional heteroskedasticity).
thanking you
Better Post it at Forecast forum ,since it is about SAS/ETS .
Are you ready for the spotlight? We're accepting content ideas for SAS Innovate 2025 to be held May 6-9 in Orlando, FL. The call is open until September 25. Read more here about why you should contribute and what is in it for you!
Learn how use the CAT functions in SAS to join values from multiple variables into a single value.
Find more tutorials on the SAS Users YouTube channel.