View source: R/autocovariances.R
rgarch1p1 | R Documentation |
Simulate GARCH(1,1) models. This function is for internal purposes to generate data for examples and testing.
rgarch1p1(n, alpha, beta, omega, n.skip = 100)
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. |
Georgi N. Boshnakov
x <- rgarch1p1(100, alpha = 0.3, beta = 0.55, omega = 1, n.skip = 100) ## autocorrelations(x) ## partialAutocorrelations(x)
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