uni_vola: Computing univariate GARCH(1,1) conditional variances

In hoanguc3m/ccgarch: Conditional Correlation GARCH models

Description

This function returns an univariate GARCH(1,1) conditional variances.

Usage

   uni.vola(a,u)

Arguments

a	a vector of parameters in the GARCH(1,1) equation (3 \times 1)
u	a vector of the data (T \times 1)

Value

a vector of GARCH(1,1) conditional variances (T \times 1)

References

Bollerslev, T. (1986): “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307–327.

See Also

uni.vola.sim

Examples

a <- c(0.01, 0.04, 0.95)    #  a <- c(a constant, ARCH parameter, GARCH parameter) 
u <- rnorm(1000)
h <- uni.vola(a, u)

hoanguc3m/ccgarch documentation built on May 29, 2019, 11:05 p.m.