simGARCH {weakARMA}

GARCH process

Description

Simulates a GARCH process which is an example of a weak white noise.

Usage

simGARCH(n, c, A, B = NULL, ninit = 100)

Arguments

n

Number of observations.

c

Positive number.

A

Vector of ARCH coefficients >=0.

B

Vector of GARCH coefficients >=0. If NULL, the simulation is a ARCH process.

ninit

Length of 'burn-in' period.

Value

Vector of size n containing a nonlinear sequence \epsilon_t such as

\epsilon_{t} = H_{t}^{1 / 2} \eta_{t}

where

H_{t} = c + a_{1}\epsilon_{t - 1}^ {2}+...+a_{q}\epsilon_{t - q} ^{2} + b_{1}H_{t-1}+...+ b_{p}H_{t-p}

References

Francq C. and Zakoïan J.M., 2010, GARCH models: structure, statistical inference and financial applications

See Also

wnRT, wnPT, wnPT_SQ

Examples

simGARCH(100, c = 1, A = 0.25)
simGARCH(100, c = 1, A = 0.1,  B = 0.88)