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

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Chapter 17: Multivariate VARMA-GARCH Models

Introduction

Multivariate VARMA-GARCH Models

The Wage-Price Time Series

A VARMA Model with a CCC-GARCH Model for the Residuals

A VARMA Model with a DCC-GARCH Model for the Residuals

Refinement of the Estimation Algorithm

The Final VARMA Model with DCC-GARCH Residuals

Conclusion

Introduction

In this chapter, you will see how PROC VARMAX is applied to estimate the parameters of more complicated models. These are models in which GARCH parameterizations for multivariate volatility structures are combined with VARMA models for the autocorrelation structure of multivariate time series. The theoretical specifications of the models are further developments based on a combination of the VARMA models as applied ...

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