[R] garchSim with starting error and variance given?

jfca283 jfca283 at gmail.com
Fri Feb 10 23:18:51 CET 2012


Hello
i need to simulate data for and arch and garch process, n=1000.
I've been generating arch and garch data but i can't find the way to set an
starting error, epsilon(t=0) and sigma(t=0) to run the command garchSim(). I
generated the process on Excel and i know that for the Arch process has a
mean of 10 aprox, and for Garch a mean of 25 aprox. The errors comes from a
random walk
y_t=epsilon_t
Thanks for your time and interest.

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