ccgarch (version 0.2.2)

uni.vola: Computing univariate GARCH(1,1) conditional variances

Description

This function returns an univariate GARCH(1,1) conditional variances.

Usage

uni.vola(a,u)

Arguments

a

a vector of parameters in the GARCH(1,1) equation $(3 \times 1)$

u

a vector of the data $(T \times 1)$

Value

• a vector of GARCH(1,1) conditional variances $(T \times 1)$

References

Bollerslev, T. (1986): Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31, 307--327.

See Also

uni.vola.sim

Examples

a <- c(0.01, 0.04, 0.95)    #  a <- c(a constant, ARCH parameter, GARCH parameter) 
u <- rnorm(1000)
h <- uni.vola(a, u)