Conditional-variance recursion

Mirrors morie.fn._garch.garch_recursion. Variance at t = 1 is initialised at the sample variance.

Usage

morie_garch_recursion(eps, params, spec = "garch")

Arguments

eps

numeric mean-zero shocks.

params

named list of parameters for the chosen spec.

spec

one of "garch", "igarch", "gjr", "aparch".

Value

numeric vector of conditional variances.

References

Tsay, R. S. (2010). Analysis of Financial Time Series (3rd ed.). Wiley. Ch. 3.

Examples

set.seed(1)
morie_garch_recursion(rnorm(50), list(omega = .05, alpha = .1, beta = .85))
#>  [1] 0.6773916 0.6650273 0.6186457 0.6456763 0.8533170 0.7861770 0.7855672
#>  [8] 0.7414909 0.7347796 0.7077151 0.6608840 0.8402996 0.7794525 0.7511286
#> [15] 1.1789489 1.1786535 1.0520574 0.9442750 0.9417164 0.9178994 0.8654863
#> [22] 0.8701153 0.8507718 0.7737120 1.1034072 1.0263145 0.9226824 0.8367072
#> [29] 0.9775124 0.9037483 0.8356536 0.9449065 0.8542271 0.7911220 0.7227432
#> [36] 0.8539610 0.7930889 0.7396720 0.6790730 0.7482177 0.7442287 0.6853012
#> [43] 0.6389252 0.6416623 0.6264003 0.6298787 0.6354518 0.6034261 0.6219764
#> [50] 0.5799421