|
|
沙发
楼主 |
发表于 2004-6-4 23:27:49
|
只看该作者
Re: 多元garch模型在sas中用什么来建立？
[quote="pico":3e175]多元garch模型在sas中用什么来建立？
用proc iml 吗，还是其他的？[/quote:3e175]
The GARCH(p,q) model is specified with the GARCH=(P=p,Q=q) option in the MODEL statement. The basic ARCH(q) model is the same as the GARCH(0,q) model and is specified with the GARCH=(Q=q) option.
The following statements fit an AR(2)-GARCH(1,1) model for the Y series regressed on TIME. The GARCH=(P=1,Q=1) option specifies the GARCH(1,1) conditional variance model. The NLAG=2 option specifies the AR(2) error process. Only the maximum likelihood method is supported for GARCH models; therefore, the METHOD= option is not needed. The CEV= option in the OUTPUT statement stores the estimated conditional error variance at each time period in the variable VHAT in an output data set named OUT.
proc autoreg data=a;
model y = time / nlag=2 garch=(q=1,p=1) maxit=50;
output out=out cev=vhat;
run; |
|
