例5.11.sas

来自「第一章 时间序列分析简介 第二章 时间序列的预处理 第三章 平稳时间序列分析 第」· SAS 代码 · 共 41 行

data a;
input returns@@;
dif=dif(returns);
r2=dif**2;
y=log(returns);
dify=dif(y);
time=intnx('month','1apr1963'd,_n_-1);
format time year4.;
cards;
0.00238	0.00238	0.00236	0.0025	0.00254	0.0026	0.00285	0.00281
0.00241	0.00288	0.00287	0.00292	0.00294	0.00273	0.00271	0.00282
0.00267	0.00273	0.00293	0.00285	0.00296	0.00281	0.00326	0.00321
0.00315	0.00319	0.00313	0.00313	0.00319	0.00313	0.0033	0.00319
0.00315	0.00355	0.0037	0.00371	0.00364	0.00381	0.00372	0.00368
0.00374	0.00389	0.00415	0.00389	0.00343	0.00377	0.00368	0.00364
0.00338	0.00283	0.00271	0.003	0.00309	0.00317	0.00343	0.00347
0.00355	0.0036	0.00398	0.00385	0.00389	0.00444	0.00453	0.00444
0.00432	0.00406	0.00432	0.00461	0.00398	0.005	0.00487	0.0047
0.00432	0.00508	0.00478	0.00508	0.00593	0.0055	0.00593	0.00542
0.0054	0.0054	0.00631	0.00534	0.00546	0.00542	0.00546	0.00495
0.005	0.00508	0.00483	0.00444	0.00377	0.00355	0.00338	0.00264
0.00283	0.00305	0.00338	0.00406				
;
proc gplot;
plot returns*time dif*time r2*time y*time dify*time;
symbol c=black i=join v=none;
proc arima;
identify var=returns ;
identify var=y(1);
estimate p=0 q=0 noint;
forecast lead=0 id=time  out=out;
data out;
merge a out;
by time;
estimate=exp(y);
proc gplot;
plot returns*time=1 estimate*time=2 /overlay;
symbol1 c=black i=none v=star h=0.5;
symbol2 c=red i=join v=none;
run;