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Hanyu
Obsidian | Level 7

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) +

garch1*xlag(h.y,mse.y) ;

/* fit the model */

fit y / method = marquardt fiml ;

run ;

quit ;

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.

1 REPLY 1
SteveDenham
Jade | Level 19

You should also post this in the SAS Forecasting and Econometrics forum.  I think the folks there specialize in the PROCs from SAS/ETS.

Steve Denham

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