Description Usage Arguments Value Examples
Returns a simulated time series (Y_t) that fulfills the following equation:
Y_t = Z_t σ_t, \quad σ_t^2 = a_0 + a_1 Y_{t-1}^2 + ε_t
where a_0 and a_1 are parameters and ε_t is
independent white noise with marginal distribution specified by the
parameter innov
.
1 |
n |
length of the time series to be returned |
a0 |
parameter |
a1 |
parameter |
overhead |
an integer specifying the “warmup” period to reach an approximate stationary start for the times series |
innov |
a function with one parameter |
Return an ARCH(1) time series with specified parameters.
1 |
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