/* ARCH_INFLATION.SAS */

FILENAME INDATA 'C:\Documents and Settings\jlee\My Documents\EC413-1\INFLATION.XLS';
PROC IMPORT OUT= WORK.INFLATION 
            DATAFILE= INDATA DBMS=EXCEL2000 REPLACE;
     GETNAMES=YES;
RUN;

/* GARCH(1,1) */
PROC AUTOREG;
MODEL Y = YLAG / ARCHTEST   GARCH=(q=1, p=1);
RUN;

/* GARCH-M(1,1) */
PROC AUTOREG;
model y = YLAG /  garch=( p=1, q=1,  mean = sqrt);
run; 

/* EGARCH(1,1) */
PROC AUTOREG;
MODEL Y = YLAG / ARCHTEST GARCH=(q=1, p=1, TYPE=EXP);
RUN;