/* Estimate GJR-GARCH Model */
proc model data = gjrgarch ;
parms arch0 .1 arch1 .2 garch1 .75 phi .1;
/* mean model */
y = intercept ;
/* variance model */
if zlag(resid.y) > 0 then
h.y = arch0 + arch1*xlag(resid.y**2,mse.y) + garch1*xlag(h.y,mse.y) ;
else
h.y = arch0 + arch1*xlag(resid.y**2,mse.y) + garch1*xlag(h.y,mse.y) +
phi*xlag(resid.y**2,mse.y) ;
/* fit the model */
fit y / method = marquardt fiml ;
run ; quit;
The XLAG function returns the lag of the first argument if it is nonmissing. If the lag of the first argument is missing then the second argument is returned. The XLAG function makes it easy to specify the lag initialization for a GARCH process.
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