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Multiple Time Series Modeling Using the SAS VARMAX Procedure by Anders Milhoj

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Chapter 15: Univariate GARCH Models

Introduction

The GARCH Model

GARCH Models for a Univariate Financial Time Series

Use of PROC VARMAX to Fit a GARCH(1,1) Model

The Fitted Model

Use of PROC VARMAX to Fit an IGARCH Model

The Wage Series

Use of PROC VARMAX to Fit an AR(2)-GARCH(1,1) Model

The Conditional Variance Series

Other Forms of GARCH Models

The QGARCH Model

The TGARCH Model

The PGARCH Model

The EGARCH Model

Conclusion

Introduction

Plots of time series often show that the series include time periods with stable behavior, as well as periods with a much more interrupted structure. In financial time series, this pattern is easily interpreted as periods with stable market conditions with only minor day-to-day changes. But sometimes something ...

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