我帮楼主问一下，有任何懂garch模型的前辈吗？

不懂的帮顶一下！

Using the HETERO Statement with GARCH ModelsThe HETERO statement can be combined with the GARCH= option on the MODEL statement to include input variables in the GARCH conditional variance model. For example, the GARCH(1,1) variance model with two dummy input variables D1 and D2 is The following statements estimate this GARCH model:

proc autoreg data=one; model y = x z / garch=(p=1,q=1); hetero d1 d2; run;

The parameters for the variables D1 and D2 can be constrained using the COEF= option. For example, the constraints are imposed by the following statements:
proc autoreg data=one; model y = x z / garch=(p=1,q=1); hetero d1 d2 / coef=unit; run;