The following features have been added to the VARMAX procedure :
The p-values for Johansen cointegration rank test are supported. Compared to using the critical values at three fixed significance levels, it is easier to use the p-values of the tests at any significance level of interest. Also, you can test the cointegration relationship for up to 64 dependent variables.
The multistep forecast for multivariate GARCH models, namely BEKK, CCC, and DCC representations, are supported. By using the LEAD= and BACK= options in the OUTPUT statement together with the OUTHT= option in the GARCH statement, you can obtain the multistep forecast of conditional covariance matrices at any horizons ahead that are of interest.