ARCH: Create an autoregressivemodel with ARCH(1) error

In nickpoison/nltsa: Nonlinear Time Series Analysis

Description

Example NLSS model

Usage

  ARCH(alpha0, alpha1, sigmaV)

Arguments

alpha0	Intercept of the variance as affine function of the square of the state
alpha1	Linear coefficient of the variance as affine function of the square of the state
sigmaV	Observation error standard deviation

Details

Xt = sigmaW(Xt-1) Wt

Yt = Xt + sigmaV Vt,

Wt and Vt are iid N(0,1) and sigmaW(x) = sqrt(alpha0 + alpha1*x^2) where alpha0 and alpha1 are positive.

Value

S3 object of class ARCH

nickpoison/nltsa documentation built on May 23, 2019, 4:48 p.m.