rgarch1p1: Simulate GARCH(1,1) models

In sarima: Simulation and Prediction with Seasonal ARIMA Models

Simulate GARCH(1,1) models

Description

Simulate GARCH(1,1) models. This function is for internal purposes to generate data for examples and testing.

Usage

rgarch1p1(n, alpha, beta, omega, n.skip = 100)

Arguments

n	length of the generated time series.
alpha	alpha parameters in the volatility equation.
beta	beta parameters in the volatility equation.
omega	constant term in the volatility equation.
n.skip	number of additional observation to generate at the beginning of the time series.

Author(s)

Georgi N. Boshnakov

Examples

x <- rgarch1p1(100, alpha = 0.3, beta = 0.55, omega = 1, n.skip = 100)
## autocorrelations(x)
## partialAutocorrelations(x)

sarima documentation built on April 3, 2025, 6:21 p.m.