rGarcha: 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 without mean part.

Usage

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

Arguments

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

rGarcha()

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