uni.vola {ccgarch} | R Documentation |
This function returns an univariate GARCH(1,1) volatility.
uni.vola(a,u)
a |
a vector of parameters (3 times 1) |
u |
a vector of the observed residuals (T times 1) |
a vector of GARCH(1,1) volatility (T times 1)
Bollerslev, T. (1986): “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307–327.
a <- c(0.01, 0.04, 0.95) # a <- c(a constant, ARCH parameter, GARCH parameter) u <- rnorm(1000) h <- uni.vola(a, u)