Usage Note 22096: Is it possible to fit a multivariate GARCH model?
 |  |  |  |
With SAS 9.2, the GARCH statement can be used in the VARMAX procedure to estimate and forecast multivariate GARCH models. This functionality first became available in SAS 8.2 using the experimental GARCH= option on the MODEL statement in PROC VARMAX. The experimental GARCH= option was replaced with the GARCH statement when the functionality became production-level software in SAS 9.2.
The MODEL procedure also supports some multivariate GARCH processes. See the SAS/ETS User's Guide for more information about fitting multivariate GARCH models in PROC VARMAX and PROC MODEL.
Operating System and Release Information
| Product Family | Product | System | SAS Release | |
| Reported | Fixed* | |||
| SAS System | SAS/ETS | All | n/a | |
| Type: | Usage Note |
| Priority: | low |
| Topic: | SAS Reference ==> Procedures ==> MODEL Analytics ==> Time Series Analysis Analytics ==> Forecasting Analytics ==> Regression Analytics ==> Econometrics SAS Reference ==> Procedures ==> VARMAX |
| Date Modified: | 2004-04-15 13:25:27 |
| Date Created: | 2002-12-16 10:56:41 |