TAILIEUCHUNG - SAS/ETS 9.22 User's Guide 36

SAS/Ets User's Guide 36. Provides detailed reference material for using SAS/ETS software and guides you through the analysis and forecasting of features such as univariate and multivariate time series, cross-sectional time series, seasonal adjustments, multiequational nonlinear models, discrete choice models, limited dependent variable models, portfolio analysis, and generation of financial reports, with introductory and advanced examples for each procedure. You can also find complete information about two easy-to-use point-and-click applications: the Time Series Forecasting System, for automatic and interactive time series modeling and forecasting, and the Investment Analysis System, for time-value of money analysis of a variety of investments | 342 F Chapter 8 The AUTOREG Procedure GARCH Models The AUTOREG procedure supports several variations of GARCH models. Using the TYPE option along with the GARCH option enables you to control the constraints placed on the estimated GARCH parameters. You can specify unconstrained nonnegativity-constrained default stationarity-constrained or integration-constrained models. The integration constraint produces the integrated GARCH IGARCH model. You can also use the TYPE option to specify the exponential form of the GARCH model called the EGARCH model or other types of GARCH models namely the quadratic GARCH QGARCH threshold GARCH TGARCH and power GARCH PGARCH models. The MEAN option along with the GARCH option specifies the GARCH-in-mean GARCH-M model. The following statements illustrate the use of the TYPE option to fit an AR 2 -EGARCH 1 1 model to the series Y. Output is not shown. AR 2 -EGARCH 1 1 model proc autoreg data a model y time nlag 2 garch p 1 q 1 type exp run See the section GARCH Models on page 375 for details. Syntax AUTOREG Procedure The AUTOREG procedure is controlled by the following statements PROC AUTOREG options BY variables CLASS variables MODEL dependent regressors options HETERO variables options NLOPTIONS options RESTRICT equation . equation TEST equation . equation option OUTPUT OUT SAS data set options At least one MODEL statement must be specified. One OUTPUT statement can follow each MODEL statement. One HETERO statement can follow each MODEL statement. Functional Summary The statements and options used with the AUTOREG procedure are summarized in the following table. Functional Summary F 343 Table AUTOREG Functional Summary Description Statement Option Data Set Options Specify the input data set AUTOREG DATA Write parameter estimates to an output data set AUTOREG OUTEST Include covariances in the OUTEST data set AUTOREG COVOUT Requests that the procedure produce graphics AUTOREG PLOTS via the Output Delivery System Write predictions .

• Tài chính doanh nghiệp
• Hướng dẫn sử dụng SAS ETS
• các mô hình phân tích tài chính
• báo cáo tài chính
• phân tích đầu tư
• phân tích tính khả dụng các khoản đầu tư