Follow the example in tseries, we can simulated a GARCH(0,2),
n <- 1100
a <- c(0.1, 0.5, 0.2) # ARCH(2) coefficients
e <- rnorm(n)
x <- double(n)
x[1:2] <- rnorm(2, sd = sqrt(a[1]/(1.0-a[2]-a[3])))
for(i in 3:n) # Generate ARCH(2) process
{
x[i] <- e[i]*sqrt(a[1]+a[2]*x[i-1]^2+a[3]*x[i-2]^2)
}
x <- ts(x[101:1100])
and x is a GARCH(0,2).
But, I would like to know how to simulated a GARCH(1,2) ?
[[alternative HTML version deleted]]
______________________________________________
[EMAIL PROTECTED] mailing list
https://www.stat.math.ethz.ch/mailman/listinfo/r-help
