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For an ARCH(1) model, the SHAZAM statement simply needs the option ARCH=1 which has been set correctly. The specification of exogenous variable variance with index by listing (index) after the list of independent variables is also correct.

In the SAS model it appears from their online documentation that an ARCH(1) model would need the option GARCH=(P=0,Q=1) not GARCH=(P=1) which appears to fit a GARCH(1) model. The SAS documentation does not clearly indicate how to specify the same form of exogenous variable variance with the hetero statement.

Note that in SHAZAM you can check for the presence of heteroskedasticity using the DIAGNOS / HET statement following an OLS command to perform Lagrange Multipler Tests (including a test for ARCH=1 errors). Page 246 of the SHAZAM 11 manual has further details.

For an ARCH(1) model, the SHAZAM statement simply needs the option ARCH=1 which has been set correctly. The specification of exogenous variable variance with index by listing (index) after the list of independent variables is also correct.

In the SAS model it appears from their online documentation that an ARCH(1) model would need the option GARCH=(P=0,Q=1) not GARCH=(P=1) which appears to fit a GARCH(1) GARCH(1,1) model. The SAS documentation does not clearly indicate how to specify the same form of exogenous variable variance with the hetero statement.

Note that in SHAZAM you can check for the presence of heteroskedasticity using the DIAGNOS / HET statement following an OLS command to perform Lagrange Multipler Tests (including a test for ARCH=1 errors). Page 246 of the SHAZAM 11 manual has further details.

For an ARCH(1) model, the SHAZAM statement simply needs the option ARCH=1 which has been set correctly. The specification of exogenous variable variance with index by listing (index) after the list of independent variables is also correct.correct, however listing the same variable for exogenous and independent should not be done and the lag of the dependent variable should probably be removed.

In the SAS model it appears from their online documentation that an ARCH(1) model would need the option GARCH=(P=0,Q=1) not GARCH=(P=1) which appears to fit a GARCH(1,1) model. The SAS documentation does not clearly indicate how to specify the same form of exogenous variable variance with the hetero statement.

Note that in SHAZAM you can check for the presence of heteroskedasticity using the DIAGNOS / HET statement following an OLS command to perform Lagrange Multipler Tests (including a test for ARCH=1 errors). Page 246 of the SHAZAM 11 manual has further details.

For an ARCH(1) model, the SHAZAM statement simply needs the option ARCH=1 which has been set correctly. The specification of exogenous variable variance with index by listing (index) after the list of independent variables is also correct, however listing the same variable for exogenous and independent should not be done and the lag of the dependent variable should probably be removed.correct.

In the SAS model it appears from their online documentation that an ARCH(1) model would need the option GARCH=(P=0,Q=1) not GARCH=(P=1) which appears to fit a GARCH(1,1) model. The SAS documentation does not clearly indicate how to specify the same form of exogenous variable variance with the hetero statement.

Note that in SHAZAM you can check for the presence of heteroskedasticity using the DIAGNOS / HET statement following an OLS command to perform Lagrange Multipler Tests (including a test for ARCH=1 errors). Page 246 of the SHAZAM 11 manual has further details.