<p>garch模型实例：</p><p>data example5_3;<br/>input x@@;<br/>t=_n_;<br/>cards;<br/>10.77 13.30 16.64 19.54 18.97 20.52 24.36<br/>23.51 27.16 30.80 31.84 31.63 32.68 34.90<br/>33.85 33.09 35.46 35.32 39.94 37.47 35.24<br/>33.03 32.67 35.20 32.36 32.34 38.45 38.17<br/>32.14 39.70 49.42 47.86 48.34 62.50 63.56<br/>67.61 64.59 66.17 67.50 76.12 79.31 78.85<br/>81.34 87.06 86.41 93.20 82.95 72.96 61.10<br/>61.27 71.58 88.34 98.70 97.31 97.17 91.17<br/>80.20 85.12 81.40 70.87 57.75 52.35 67.50<br/>87.95 85.46 84.55 98.16 102.42 113.02 119.95<br/>122.37 126.96 122.79 127.96 139.20 141.05 140.87<br/>137.08 145.53 145.59 134.36 122.54 106.92 97.23<br/>110.39 132.40 152.30 154.91 152.69 162.67 160.31<br/>142.57 146.54 153.83 141.81 157.83 161.79 142.07<br/>139.43 140.92 154.61 172.33 191.78 199.27 197.57<br/>189.29 181.49 166.84 154.28 150.12 165.17 170.32<br/>；<br/>proc gplot data=example5_3;<br/>plot x*t=1;<br/>symbol1 c=black i=join v=star;<br/>proc autoreg data=example5_3;<br/>model x=t/nlag=5 dwprob archtest;<br/>model x=t/nlag=2 noint garch=(p=1,q=1);<br/>output out=out p=xp;<br/>proc gplot data=out;<br/>plot x*t=2 xp*t=3/overlay;<br/>symbol2 v=star i=none c=black;<br/>symbol3 v=none i=join c=red w=2;<br/>run;<br/></p>
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