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.
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.
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