It shouldn't be hard, using the definition of GARCH(1,1). Giovanni
> Date: Tue, 02 Oct 2007 17:14:27 -0400 (EDT) > From: [EMAIL PROTECTED] > Sender: [EMAIL PROTECTED] > Importance: Normal > Precedence: list > User-Agent: SquirrelMail/1.4.6 > > Hey, > > Is there any way to simulate a GARCH(1,1) data set? > > Thanks > Tharanga > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > -- Giovanni Petris <[EMAIL PROTECTED]> Associate Professor Department of Mathematical Sciences University of Arkansas - Fayetteville, AR 72701 Ph: (479) 575-6324, 575-8630 (fax) http://definetti.uark.edu/~gpetris/ ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
