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palmaj
Calcite | Level 5

Hello. I am using the PROC VARMAX procedure to run DCC GARCH. As per userguide: https://documentation.sas.com/doc/en/etscdc/14.2/etsug/etsug_varmax_gettingstarted10.htm

Code below. I am trying to find either a table/vector output or a plot of the conditional correlation series that is generated by the process. I have tried Plots=All in the proc statement and printall in the model statement to no avail. It's not clear that ODS has this chart/table either?

Thank you

/*--- DCC ---*/

proc varmax data=indices outest=oedcc outcov;
   model rDJIA rSP500 / noint;
   garch p=1 q=1 form=dcc outht=ohdcc;
run;

 

 

 

2 REPLIES 2
Ksharp
Super User
Better post it at Forecasting Forum, since this PROC is under SAS/ETS module.
https://communities.sas.com/t5/SAS-Forecasting-and-Econometrics/bd-p/forecasting_econometrics
palmaj
Calcite | Level 5

Thank you.

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