fgarch_1_1 {wwntests}

'fgarch_1_1' Simulates an fGARCH(1,1) process with N independent observations, each observed

Description

'fgarch_1_1' Simulates an fGARCH(1,1) process with N independent observations, each observed

Usage

fgarch_1_1(N, J, delta = 0.01, burn_in = 50)

Arguments

N

the number of fGARCH(1,1) curves to sample.

J

the number of points at which each curve is sampled (the resolution of the data).

delta

a parameter used in the variance recursion of the model.

burn_in

the number of initial samples to burn (discard).

Value

A list containing two J x N matrices, the former containing the sample of fGARCH(1,1) curves and the latter containing the respective variance values.

Examples

f <- fgarch_1_1(100, 50)