gen.arch.wge: Generate a realization from an ARCH(q0) model

In tswge: Time Series for Data Science

Generate a realization from an ARCH(q0) model

Description

Generates a realization of length n from the GARCH(q0) model (4.23) in "Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Usage

gen.arch.wge(n, alpha0, alpha, plot = TRUE,sn=0)

Arguments

n	Length of realization to be generated
alpha0	The constant alpha0 in model (4.23)
alpha	A vector of length q0 containing alpha1 through alphaq0
plot	If plot=TRUE (default) the generated realization is plotted
sn	determines the seed used in the simulation. sn=0 produces new/random realization each time. sn=positive integer produces same realization each time

Value

returns the generated realization

Author(s)

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

gen.arch.wge(n=200,alpha0=.1,alpha=c(.36,.27,.18,.09))

tswge documentation built on Feb. 16, 2023, 6:51 p.m.