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The VARMAX Procedure

OUTHT= Data Set

The OUTHT= data set contains prediction of the fitted GARCH model produced by the GARCH statement. The following output variables can be created.

  • the BY variables

  • H, numeric variables that contain the prediction of covariance, where , where is the number of dependent variables

The OUTHT= data set contains the values shown in Table 32.6 for a bivariate case.

Table 32.6 OUTHT= Data Set

Obs

H1_1

H1_2

H2_2

1

h111

h121

h221

2

h112

h122

h222

:

:

:

:

Consider the following example of the OUTHT= option:

proc varmax data=garch;
   model y1 y2 / p=1
         print=(roots estimates diagnose);
   garch q=1 outht=ht;
run;
proc print data=ht(firstobs=495);
run;

The output in Figure 32.68 shows the part of the OUTHT= data set.

Figure 32.68 OUTHT= Data Set
Obs h1_1 h1_2 h2_2
495 9.36568 -1.10406 2.44644
496 8.46807 -0.17464 1.60330
497 9.19686 0.09762 1.69639
498 8.40787 -0.33463 2.07687
499 8.88429 0.03646 1.69401
500 8.60844 -0.40260 1.79703

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