rGarch {RMOPI}

Simulate a Garch Series

Description

Simulate a Garch series given its data generate process with mean part.

Usage

rGarch(
  u = 0,
  a0 = rnorm(1, 0, 1),
  sigma20 = rnorm(1, 0, 1)^2,
  alpha = c(0.5, 0.5),
  beta = 0.25,
  len = 10
)

Arguments

u

the mean series

a0

vector of the start part

sigma20

vector of the initial variance sigma2

alpha

the alpha parameter

beta

the beta parameter

len

the length, include defined a0

Value

A simulated garch series

References

Bollerslev T. 1986. "Generalized autoregressive conditional heteroskedasticity", Journal of Econometrics, 31(3): 307-327. doi: 10.1016/0304-4076(86)90063-1.

Examples

rGarch()