ARGARCHData: A sample of 1000 AR-GARCH observations

In RRegArch: General univariate ARCH models simulation and estimation

Description

A file of 1000 CONST + AR(2) - GARCH(1,1) with 19 d.o.f. Student conditional residuals successive observations

Usage

data(ARGARCHData)

Format

RData file

Details

File 'ARGARCHData' contains the vector 'ARGARCHData'.
The model parameters are:
Conditional Mean Model:
———————–
AR[1] = 0.1
AR[2] = 0.2
Const = 2

Conditional Variance Model:
—————————
ConstVar 0.1
ARCH[1] 0.1
ARCH[2] 0.2
GARCH[1] 0.6

Conditional Residuals Model:
—————————-
Student residuals with 10 d.o.f.

RRegArch documentation built on May 2, 2019, 4:59 p.m.