In PROC AUTOREG, in addition to ARCH/GARCH model specification, you can also use HETERO statement to specify error variance function:   https://go.documentation.sas.com/doc/en/pgmsascdc/9.4_3.5/etsug/etsug_autoreg_syntax11.htm   And the HETERO statement can also be used with GARCH model together to specify additional variables in the variance function to the standard GARCH equation as discussed here:   https://go.documentation.sas.com/doc/en/pgmsascdc/9.4_3.5/etsug/etsug_autoreg_details12.htm#etsug.autoreg.heterogarch     PROC MODEL allows more flexible specification of error variance structures as discussed here:   https://go.documentation.sas.com/doc/en/pgmsascdc/9.4_3.5/etsug/etsug_model_sect133.htm   If you have specific form of heteroscedasticity but not sure how to specify your model, please provide more details.   ... View more