Tietokoneharjoitus 3

Tehtävä 5

Simuloi GARCH(1,1) mallia.

T<-1000
seed<-3
set.seed(seed)
e<-rnorm(T)
# df<-10; e<-rt(T,df=df)

a0<-1
a1<-0.6
b1<-0.1

x<-matrix(0,T,1)
sigma2<-matrix(0,T,1)
for (t in 2:T){
    sigma2[t]<-a0+a1*sigma2[t-1]+b1*x[t-1]^2
    x[t]<-sqrt(sigma2[t])*e[t]
}
plot(x,type="l")

Simuloi ARCH(q) mallia. T<-1000 seed<-2 set.seed(seed) e<-abs(rnorm(T)) #df<-6; e<-abs(rt(T,df=df)) # maaritellaan parametrivektori b q<-50 b<-matrix(0,q,1) c<-1 for (i in 1:q) b[i]<-c^(i-1) a<-1 y0<-0 y<-matrix(y0,T,1) for (t in (q+1):T){ sigma2<-a+t(b)%*%matrix(y[(t-q):(t-1)],q,1) y[t]<-sqrt(sigma2)*e[t] } plot(y,type="l")