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 $i\_ j$ , numeric variables that contain the prediction of covariance, where $1 \leq i < j \leq k$ , where $k$ is the number of dependent variables

The OUTHT= data set contains the values shown in Table 35.10 for a bivariate case.

Table 35.10: OUTHT= Data Set

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.

Figure 35.68: OUTHT= Data Set