Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: times
See also: genarma

Macro: genarch
Description: generates a GARCH process with Gaussian innovations

Usage: y = genarch(a, b, n)
Input:
a (q+1)-vector of constant and ARCH parameters
b p-vector of GARCH parameters
n scalar, length of output process
Output:
y n-vector, the GARCH process
s2 n-vector, the volatility process

Example:
library("times")
randomize(0)
y = genarch(0.1|0.2,0.7,5)
y{1}
Result:
Contents of y  
[1,]  0.87293 
[2,] -0.81784 
[3,]  -1.0228 
[4,]  0.56941 
[5,] -0.30926  

Library: times
See also: genarma

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Christian Hafner, 960819
(C) MD*TECH Method and Data Technologies, 28.6.1999