MODEL Statement
Lag Specification Options
- Q= number
- Q= (number-list)
-
specifies the order of the moving-average error process.
Subset models of moving-average orders can be specified as,
for example, Q=(1,5). The default is Q=0.
GARCH Model Estimation Options
- GARCH=(Q=number P=number
FORM= value MEAN )
-
specifies a GARCH-type multivariate conditional heteroscedasticity
model. The GARCH= option in the MODEL statement specifies the family
of GARCH models to be estimated.
The following options can be used in the GARCH= option.
- FORM= value
- specifies the representation for a GARCH model. Valid values are as follows:
-
- BEKK
- specifies a BEKK representation.
This is the default.
- BEW
- specifies a vectorized representation.
- DIAG
- specifies a diagonal representation.
- MEAN
- specifies the GARCH-M model.
- P=number
- P=(number-list)
- specifies the order of the process or the subset of GARCH terms
to be fitted. By default, P=0.
- Q=number
- Q=(number-list)
- specifies the order of the process or the subset of ARCH terms to be
fitted. This option is required in the GARCH= option.
Printing Options
- PRINT=(ROOTS)
- In addition, when the GARCH= option is specified,
this option prints the roots of the GARCH characteristic polynomials
to check covariance stationarity for the GARCH process.
Copyright © 2001 by SAS Institute Inc., Cary, NC, USA. All rights reserved.
