Hello, I have raw daily returns data for about 10 countries. For each country, I wish to compute conditional volatility using the model GARCH(1,1).   Would this be the right code?   Proc autoreg data=daily_return outest=est; model daily_return= / garch=(q=1, p=1); by country; output out=conditional_var cev=vhat; run; quit;   data conditional_vol; gc; conditional_vol=sqrt(vhat); run;   Thank you-   ... View more

Hello, I have the following data of the form: DATE Australia Austria Denmark Finland France Germany Israel Japan Netherlands 9/10/2004 . . . . . . . . . 9/13/2004 -0.00111 -0.01199 -0.00347 0.00372 0.00874 0.01302 0.00454 0.00414 0.00809 9/14/2004 0.01627 0.00438 -0.00489 -0.00161 -0.00059 0.00122 0.00197 0.00753 -0.00111 9/15/2004 -0.01153 -0.01692 -0.01985 -0.0151 -0.01549 -0.01236 -0.00353 -0.0172 -0.01349 9/16/2004 0.00538 0.00506 0.00286 0.00897 -0.0013 0.00512 0.00199 -0.00103 -0.00106 9/17/2004 -0.00178 0.01367 0.00462 0.00906 0.01045 0.00823 -0.00014 -0.00819 0.01009 9/20/2004 0.00491 -0.0002 -0.00183 0.00401 -0.00672 -0.00385 0.00902 0.00191 -0.00777 9/21/2004 0.0019 0.02246 0.01675 0.0056 0.01573 0.01272 0.00026 -0.00209 0.01623 9/22/2004 0.01115 -0.00491 -0.00613 -0.00949 -0.01118 -0.01247 -0.0078 -0.00682 -0.01819 9/23/2004 0.0108 0.00498 0.00781 -0.00732 -0.00539 -0.00435 -0.02991 0.00276 -0.00587 9/24/2004 -0.00718 -0.00863 -0.00037 0.00082 0.00273 -0.00101 -0.00417 -0.01427 -0.00436 9/27/2004 0.00073 0.01044 0.00118 -0.00546 -0.00175 -0.00709 0.00147 -0.00985 -0.00324 9/28/2004 0.00752 -0.00655 0.00138 -0.00431 0.00448 0.00336 -0.00631 -0.00551 0.00365   I wish to transform as follows: Country Date Returns Australia 9/10/2004 . Australia 9/13/2004 -0.00111 Australia 9/14/2004 0.01627 Australia 9/15/2004 -0.01153 Australia 9/16/2004 0.00538 Australia 9/17/2004 -0.00178 Australia 9/20/2004 0.00491 Australia 9/21/2004 0.0019 Australia 9/22/2004 0.01115 Australia 9/23/2004 0.0108 Australia 9/24/2004 -0.00718 Australia 9/27/2004 0.00073 Australia 9/28/2004 0.00752 Austria 9/10/2004 . Austria 9/13/2004 -0.01199 Austria 9/14/2004 0.00438 Austria 9/15/2004 -0.01692 Austria 9/16/2004 0.00506 Austria 9/17/2004 0.01367 Austria 9/20/2004 -0.0002 Austria 9/21/2004 0.02246 Austria 9/22/2004 -0.00491 Austria 9/23/2004 0.00498 Austria 9/24/2004 -0.00863 Austria 9/27/2004 0.01044 Austria 9/28/2004 -0.00655     I would appreciate any help in writing the code for this 🙂 ... View more