Simulate GARCH(1,1) models. This function is for internal purposes
to generate data for examples and testing.
Usage
rgarch1p1(n, alpha, beta, omega, n.skip = 100)
Arguments
- n
length of the generated time series.
- alpha
alpha parameters in the volatility equation.
- beta
beta parameters in the volatility equation.
- omega
constant term in the volatility equation.
- n.skip
number of additional observation to generate at the
beginning of the time series.
Author
Georgi N. Boshnakov
Examples
x <- rgarch1p1(100, alpha = 0.3, beta = 0.55, omega = 1, n.skip = 100)
## autocorrelations(x)
## partialAutocorrelations(x)