Description Usage Arguments Details Value Author(s) Examples

Simulate a GARCH process.

1 |

`alpha` |
The vector of ARCH coefficients including the intercept term as the first element |

`beta` |
The vector of GARCH coefficients |

`n` |
sample size |

`rnd` |
random number generator for the noise; default is normal |

`ntrans` |
burn-in size, i.e. number of initial simulated data to be discarded |

`...` |
parameters to be passed to the random number generator |

Simulate data from the GARCH(p,q) model:
*x_t=σ_{t|t-1} e_t* where *\{e_t\}* is iid, *e_t*
independent of past *x_{t-s}, s=1,2,…*, and

*σ_{t|t-1}=∑_{j=1}^p β_j σ_{t-j|t-j-1}+
α_0+∑_{j=1}^q α_j x_{t-i}^2*

simulated GARCH time series of size n.

Kung-Sik Chan

1 2 3 |

```
Loading required package: leaps
Loading required package: locfit
locfit 1.5-9.1 2013-03-22
Loading required package: mgcv
Loading required package: nlme
This is mgcv 1.8-17. For overview type 'help("mgcv-package")'.
Loading required package: tseries
Attaching package: 'TSA'
The following objects are masked from 'package:stats':
acf, arima
The following object is masked from 'package:utils':
tar
```

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