Dear all, I earlier posted 2 questions on multivariate garch, but got no response. I decided that my question might become more clear with an example To make my question more clear: I am looking to do an analysis similar to the one in this paper: http://www.opf.slu.cz/kfi/icfb/proc2011/pdf/02_Arifin.pdf You'd only have to check page 5 for the methodology and page 6 for the results. Let's assume I have the same stock index return data as in this paper. How could I get the results in table 2, panel A and B, using VARMAX? ... View more

Dear all, I want to fit a bivariate GARCH BEKK model to two price series, like in the SAS user guide SAS/ETS(R) 9.22 User's Guide The user duide mentions the following code: model y1 y2; garch q=1 p=1 form=bekk; With y1 and y2, does the guide refer to the price series itself? Or do I need to input the residuals from an AR process? ... View more

Hi all, I have 2 datasets: 1. contains approximately 25 million observations of 5 variables: MutualfundID, year, month, assetID and holdings. Each month of each year in my dataset it shows what the holdings of these funds in multiple assets are. So this contains several observations fora specfic mutualfund in a specific month; because the have positions in several assets. 2. contains 250.000 observations of 4 variables. Also: MutualfundID, year, month and then one other var: netfundflows. So this contains only 1 observation for a specific fund in a specific month because in shows net flows. What I want to accomplish is that those fundflows come in as a 6th variable in the first dataset. Because each fund has multiple assets each month, the net fund flows will be repeated several times in that month because it relates to the fund itself and not to the asset. I tried: data merged; merge dataset1 dataset2; by MutualfundID, year, month; run; But this doesnt give me the right results. How should I approach this? ... View more

Fund year month SecurityID Market value of securities Newvar 1 1990 1 a 1000 3000 1 1990 1 b 2000 3000 1 1990 3 a 1200 2300 1 1990 3 b 1100 2300 1 1990 2 a 500 1 1990 11 a 400 2 1990 3 a 1300 2 1990 3 b 300 I am a beginning SAS user. The upper table is an example of my dataset. I want to create a new variable, up till now I only have experience with creating new variables without conditions. However, now I need to use conditions and I do not know how to get this into SAS. The new variable should be the sum of the marketvalue of all securities of a specific fund at a specific month of a specific year. To gain understanding I did this for the first 4 rows already. 3000 is the total value in January 1990 because the fund holds 2 securities with respective values of 1000 and 2000 as can be seen in the first two rows. I hope it is understandable that I need a condition that specifies that that a summation should be done of marketvalue for specific values "year" and "month". So for example all 1990/1, then 1990/2 etc. etc. How can I approach this problem? I have the feeling I should use some sort of loop is that correct? Sincerely, Daan Message was edited by: Daan van Alem ... View more