fgarch_1_1: 'fgarch_1_1' Simulates an fGARCH(1,1) process with N...

In wwntests: Hypothesis Tests for Functional Time Series

'fgarch_1_1' Simulates an fGARCH(1,1) process with N independent observations, each observed

Description

'fgarch_1_1' Simulates an fGARCH(1,1) process with N independent observations, each observed

Usage

fgarch_1_1(N, J, delta = 0.01, burn_in = 50)

Arguments

N	the number of fGARCH(1,1) curves to sample.
J	the number of points at which each curve is sampled (the resolution of the data).
delta	a parameter used in the variance recursion of the model.
burn_in	the number of initial samples to burn (discard).

Value

A list containing two J x N matrices, the former containing the sample of fGARCH(1,1) curves and the latter containing the respective variance values.

Examples

f <- fgarch_1_1(100, 50)

wwntests documentation built on Nov. 1, 2022, 5:05 p.m.