With SAS 9.2, the GARCH statement can be used in the VARMAX procedure to estimate and forecast multivariate GARCH models. This functionality first became available in SAS 8.2 using the experimental GARCH= option on the MODEL statement in PROC VARMAX. The experimental GARCH= option was replaced with the GARCH statement when the functionality became production-level software in SAS 9.2.

The MODEL procedure also supports some multivariate GARCH processes. See the SAS/ETS User's Guide for more information about fitting multivariate GARCH models in PROC VARMAX and PROC MODEL.