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 .
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