GARCHProcess

GARCHProcess[κ,{α1,,αq},{β1,,βp}]
represents a generalized autoregressive conditionally heteroscedastic process of orders p and q, driven by a standard white noise.

GARCHProcess[κ,{α1,,αq},{β1,,βp},init]
represents a GARCH process with initial data init.

DetailsDetails

ExamplesExamplesopen allclose all

Basic Examples  (3)Basic Examples  (3)

Simulate a GARCHProcess:

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Unconditional mean and variance of a weakly stationary process:

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With fixed initial values:

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The observations are uncorrelated but dependent:

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The squared values of the data are correlated:

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Introduced in 2014
(10.0)