ARCH2m

Function to sample from the model X= AX + B with X = (eta + lambda X) Z^2, Z iid Gaussian. For the default values, this model has index of regular variation alpha = 1 and extremal index theta = 0.727

Usage

ARCH2m(
  n0,
  eta = 2 * 10^{
     -5
 },
  lambda = 0.5
)

Arguments

n0

(Integer with trajectory length)

eta

(Real value)

lambda

(Real value)

Value

(Vector of length n0 sampled from the SRE model)

Examples

path <- ARCH2m(1000)
plot.ts(path)