The VARMAX Procedure

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 35.6 for a bivariate case.

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 35.68 shows the part of the OUTHT= data set.