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")