程序如下:
proc model data = a1 ;
/* parms ar -.4 arch0 .1 arch1 .2 garch1 .75 ;*/
/* mean model */
y = ar0+ar1*x ;
/* variance model */
h.y = arch0 + arch1*xlag(resid.y**2,mse.y) +
garch1*xlag(h.y,mse.y) ;
/* fit the model */
fit y / method = marquardt fiml outpredict out=a2 ;
run ;
quit ;
请问怎样得到variance model里面h.y的拟合值,也就是拟合的方差序列?大谢!!!