SAS/ETS Software

VARMAX Procedure

The VARMAX procedure now includes maximum likelihood estimation for VARMA models and multivariate GARCH models:

Vector time series can now be estimated by a finite order VAR process with a finite order MA error term. The VARMA processes have infinite order pure VAR and MA representations. Impulse response analysis and forecasting VARMA processes are included.
Multivariate GARCH models now enable you to specify a functional form for the conditional covariance and also enable you to model the first and second moments jointly.