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