Hi! Is there anyone who knows SAS program and who could explain to me how to do this in eviews? Thank you in advance.
1. In terms of SAS coding, the conditional heteroskedasticity of var1 (i.e. ht1 below) can be obtained from
MODEL var1 = explanatory variables that you used for this var1 / nlag = 1 GARCH(q=1,p=1) method=ML MAXIT=200;
OUTPUT OUT=out1 CEV=ht1;
RUN;
DATA all
SET = out1;
st1 = SQRT(ht1);
num = _N_;
RUN;
PROC GPLOT DATA = all;
PLOT st1*num=1 st2*num=2 / OVERLAY;
/* st2 = the SQRT(ht2); where ht2 is obtained from MODEL var2 = explanatory variables / nlag = 1 GARCH(q=1, p=1) method = ML MAXIT = 200; the same regression in which var2 is the dependent variable instead of var1, as in the above MODEL statement */
SYMBOL1 v=dot i=none;
SYMBOL2 v=none i=join;
RUN;
That is, (1) you should obtain two conditional heteroskedasticity data ht1 and ht2 and then (2) plot st1 and st2 with OVERLAY. (Obtain the same overlayed graph with ht1 and ht2 and compare this with the one drawn with st1 and st2)
GARCH plot
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