| 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 | |
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 |