Dear all,
I am using GARCH (1,1) model to simulate volatility.
But seems that I am missing something about how it works in R.
The following code produces negative results, though vola cannot be.
What is wrong here?
library("fSeries")
library("fGarch")
spec = garchSpec(model = list(omega = 0.01, alpha = 0.13, beta = 0.86))
gat <- garchSim(spec, n = 10)
Thanks a lot!
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