10-30-2014 05:02 PM
I have a intraday data and I want to estimate a GARCH(1,1) model using the code SAS provide.
proc model data = normal ;
parms arch0 .1 arch1 .2 garch1 .75 ;
/* mean model */
y = intercept ;
/* variance model */
h.y = arch0 + arch1*xlag(resid.y**2,mse.y) +
/* fit the model */
fit y / method = marquardt fiml ;
However, I want to re-initialize the lag of resid.y**2 as the previous day's mean square error. Any thought on this matter? Thank you in advance.
10-31-2014 09:44 AM
You should also post this in the SAS Forecasting and Econometrics forum. I think the folks there specialize in the PROCs from SAS/ETS.