The VARMAX Procedure |
GARCH Statement |
The GARCH statement specifies a GARCH-type multivariate conditional heteroscedasticity model.
The following options can be used in the GARCH statement.
specifies the representation for a GARCH model. Valid values are as follows:
specifies a BEKK representation. This is the default.
specifies a constant conditional correlation representation.
writes the conditional covariance matrix to an output data set.
specifies the order of the process or the subset of GARCH terms to be fitted. For example, you can specify the P=(1,3) option. The P=3 option is equivalent to the P=(1,2,3) option. The default is P=0.
specifies the order of the process or the subset of ARCH terms to be fitted. This option is required in the GARCH statement. For example, you can specify the Q=(2) option. The Q=2 option is equivalent to the Q=(1,2) option.
For the VAR(1)–ARCH(1) model,
model y1 y2 / p=1; garch q=1 form=bekk;
For the multivariate GARCH(1,1) model,
model y1 y2; garch q=1 p=1 form=ccc;
Other multivariate GARCH-type models are
model y1 y2 = x1 / xlag=1; garch q=1;
model y1 y2 / q=1; garch q=1 p=1;
See the section Multivariate GARCH Modeling for details.
Copyright © 2008 by SAS Institute Inc., Cary, NC, USA. All rights reserved.