GARCH-M的SAS程序是怎样的？

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GARCH-M的SAS程序是怎样的？

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关键词：garch-m sas程序 GARCH ARCH ARC 程序 SAS

PROC AUTOREG: MODEL Statement - GARCH= Option

GARCH= ( option-list )
Specifies a GARCH-type conditional heteroscedasticity model. The GARCH= option in the MODEL statement specifies the family of ARCH models to be estimated. The GARCH(1,1) regression model is specified in the following statement:

 model y = x1 x2 / garch=(q=1,p=1); 

When you want to estimate the subset of ARCH terms, for example, ARCH(1 3), you can write the SAS statement as follows:

 model y = x1 x2 / garch=(q=(1 3)); 

With the TYPE= option, you can specify various GARCH models. The IGARCH(2,1) model without trend in variance is estimated as follows:

 model y = / garch=(q=2,p=1,type=integ,noint); 

The following options can be used in the GARCH=( ) option. The options are listed within parentheses and separated by commas.