rGarch: Simulate a Garch Series

In RMOPI: Risk Management and Optimization for Portfolio Investment

Simulate a Garch Series

Description

Simulate a Garch series given its data generate process with mean part.

Usage

rGarch(
  u = 0,
  a0 = rnorm(1, 0, 1),
  sigma20 = rnorm(1, 0, 1)^2,
  alpha = c(0.5, 0.5),
  beta = 0.25,
  len = 10
)

Arguments

u	the mean series
a0	vector of the start part
sigma20	vector of the initial variance sigma2
alpha	the alpha parameter
beta	the beta parameter
len	the length, include defined a0

Value

A simulated garch series

References

Bollerslev T. 1986. "Generalized autoregressive conditional heteroskedasticity", Journal of Econometrics, 31(3): 307-327. doi: 10.1016/0304-4076(86)90063-1.

Examples

rGarch()

RMOPI documentation built on Aug. 22, 2022, 5:07 p.m.