specifies the representation for a GARCH model. Valid values are as follows:

BEKK

specifies a BEKK representation. This is the default.

CCC

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.