[R] GARCH simulations

[Giovanni Petris]

It shouldn't be hard, using the definition of GARCH(1,1). 

Giovanni

> Date: Tue, 02 Oct 2007 17:14:27 -0400 (EDT)
> From: twickra at CLEMSON.EDU
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> 
> Hey,
> 
> Is there any way to simulate a GARCH(1,1) data set?
> 
> Thanks
> Tharanga
> 
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-- 

Giovanni Petris  <GPetris at uark.edu>
Associate Professor
Department of Mathematical Sciences
University of Arkansas - Fayetteville, AR 72701
Ph: (479) 575-6324, 575-8630 (fax)
http://definetti.uark.edu/~gpetris/