Generating Data for a Garch Model
Posted: Sun Mar 11, 2012 8:37 am
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An example for simulating a MV-GARCH model is at:
http://www.estima.com/forum/viewtopic.php?f=11&t=1024
That generates the shocks (U) and variances (H). Given those, you can create the observable series for a GARCH-M as a function of the U's and H's.