Spectral analysis SAS

#1
Hello,

I am currently conducting a project in econometrics and the variable of interest is intraday future index returns. The series under consideration exhibits strong periodicity so the objective is to filter the series (remove the periodicity) in order to apply GARCH modelling. As i have read in a paper the way to filter return data is to use spectral analysis so i am trying to do this by using SAS/ ETS and more specifically proc spectra. The proc that i use is the following as i have read in a SAS manual.

proc spectra data=aaa out=bbb coef;
var return;
run;

The variable of interst (return) has 8855 observations so i guess that the filtered series should also have the same number of observations. What i get from SAS is a data set with 5 variables (frequency, period, cosine, sine and periodogram) and only 4428 observations. How am i going to get the 8855 filteres returns?

Thanks in advance,

Andreas