ts-models-ARCH1: Simulation of an ARCH(1) time series.
Description
Returns a simulated time series $(Y_t)$ that fulfills
the following equation: $$Y_t = Z_t \sigma_t, \quad
\sigma_t^2 = a_0 + a_1 Y_{t-1}^2 + \epsilon_t$$ where
$a_0$ and $a_1$ are parameters and $\epsilon_t$
is independent white noise with marginal distribution
specified by the parameter innov.
Usage
ARCH1(n, a0, a1, overhead = 500, innov = rnorm)
Arguments
n
length of the time series to be returned
a0
parameter
a1
parameter
overhead
an integer specifying the ``warmup''
period to reach an approximate stationary start for the
times series
innov
a function with one parameter n that
yields n independent pseudo random numbers each
time it is called.
Value
Return an ARCH(1) time series with specified parameters.