Date:         Thu, 6 Aug 2009 10:15:55 -0400
Reply-To:     Stanley Luo <shanminglo@GMAIL.COM>
Sender:       "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:         Stanley Luo <shanminglo@GMAIL.COM>
Subject:      How to estimate the parameters of Heston & Nandi(2000) GARCH(1,1)
              model using SAS

Dear SAS-Ls:
Does anyone ever try to estimate the parameters of Heston & Nandi(2000)
GARCH(1,1) model using SAS??

The Heston & Nandi(2000) GARCH(1,1) model described as below:

Let the logarithm return Yt assumed to follow the GARCH(1,1) driven by
Y(t)= r + lambda*h(t) + sqrt(h(t))*Z(t)
h(t+1)= omega + beta*h(t) + alpha*(Z(t)-gamma*sqrt(h(t)))^2

where Zt is error term distributed as standard normal, Zt~N(0,1).
r is a known as interest rate as constant.
The parameters, omega, beta, alpha, gamma and lambda are desired to be
estimated.

Thanks in advance!!

Regards,
Stanley