11-11-2011 11:18 PM
I'm not sure if this is a correct way to ask this but I was wondering if there is a way to estimate Dynamic Conditional Correlation ( Engle, R. “Dynamic conditional correlation.” Journal of Business and Economic Statistics 20, no. 3 (.... ) type of models in SAS? Preferrably not through programming the whole thing in IML, which I don't know at all.
I use ccgarch 0.2 package for R to do that, Oxmetrics can do that as well, however if there is a way to do it in SAS i would greatly appreciate it. So far I haven't been able to find anything on site or anywhere.