gen.arch.wge {tswge}

Generate a realization from an ARCH(q0) model

Description

Generates a realization of length n from the GARCH(q0) model (4.23) in "Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Usage

gen.arch.wge(n, alpha0, alpha, plot = TRUE,sn=0)

Arguments

n

Length of realization to be generated

alpha0

The constant alpha0 in model (4.23)

alpha

A vector of length q0 containing alpha1 through alphaq0

plot

If plot=TRUE (default) the generated realization is plotted

sn

determines the seed used in the simulation. sn=0 produces new/random realization each time. sn=positive integer produces same realization each time

Value

returns the generated realization

Author(s)

Wayne Woodward

References

"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott

Examples

gen.arch.wge(n=200,alpha0=.1,alpha=c(.36,.27,.18,.09))