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

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

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, 21.9.2000