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C++ API

: arch_rnd (a, b, t)

Simulate an ARCH sequence of length t with AR coefficients b and CH coefficients a.

The result y(t) follows the model

y(t) = b(1) + b(2) * y(t-1) + … + b(lb) * y(t-lb+1) + e(t),

where e(t), given y up to time t-1, is N(0, h(t)), with

h(t) = a(1) + a(2) * e(t-1)^2 + … + a(la) * e(t-la+1)^2

Package: octave