Re: [R] AR Simulation with non-normal innovations - Correct

Thanks Andreas. This is just the start point I was needing. Best, Rick From: Andreas Hary Sent: Tuesday, November 03, 2009 7:19 AM To: Ricardo Gonçalves Silva Subject: Re: [R] AR Simulation with non-normal innovations - Correct Have a look at function arima.sim. It allows you to specify

[R] AR Simulation with non-normal innovations

Dear Users, I would like to simulate AR(1) (y_t=ct1+y_t-1+e_t) model in R where the innovations are supposed to follow a t-GARCH(1,1) proccess. By t-GARCH I want to mean that: e_t=n_t*sqrt(h_t) and h_t=ct2+a*(e_t)^2+b*h_t-1. If someone could give some guidelines, I can going developing the

[R] AR Simulation with non-normal innovations - Correct

Dear Users, I would like to simulate an AR(1) (y_t=ct1+y_t-1+e_t) model in R where the innovations are supposed to follow a t-GARCH(1,1) proccess. By t-GARCH I want to mean that: e_t=n_t*sqrt(h_t) and h_t=ct2+a*(e_t)^2+b*h_t-1. where n_t is a random variable with t-Student distribution. If