GARCH model

Return data from simulation

garchdata(a0, a1, b, n, sd = 0.1)

Arguments

a0

a numeric number for linear location.

a1

a numeric number as the coefficient for observation.

b

a numeric number as the coefficient for latent process.

n

a numeric number of data length.

sd

a numeric number for standard deviation of normal noise

Value

a numeric vector of simulation data from ARCH model.

See also

Other Yasuyuki Takayanagi: archdata(), ardata(), cosdata(), expardata(), ldata(), lleplot(), lle(), lndata()

Examples

n <- 500  #even number
data <- garchdata(0.1, 0.2, 0.5, n)
length(data)
#> [1] 500
lle(data)
#>  [1] 0.7046989 0.6595992 0.5972224 0.2736344       NaN       NaN       NaN
#>  [8]       NaN       NaN       NaN       NaN       NaN       NaN       NaN
#> [15]       NaN       NaN       NaN       NaN       NaN       NaN       NaN