uni.vola {ccgarch}R Documentation

Computing univariate GARCH(1,1) volatility

Description

This function returns an univariate GARCH(1,1) volatility.

Usage

   uni.vola(a,u)

Arguments

a a vector of parameters (3 times 1)
u a vector of the observed residuals (T times 1)

Value

a vector of GARCH(1,1) volatility (T times 1)

References

Bollerslev, T. (1986): “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307–327.

See Also

uni.vola.sim

Examples

a <- c(0.01, 0.04, 0.95)    #  a <- c(a constant, ARCH parameter, GARCH parameter) 
u <- rnorm(1000)
h <- uni.vola(a, u)

[Package ccgarch version 0.1.1 Index]