ARCHm

Function to sample from the model X = AX + B with log A ~ N-0.5, B ~ Unif(0,1) The model has index of regular variation alpha = 1 and extremal index theta = 0.2792

Usage

ARCHm(n0)

Arguments

n0

(Integer with trajectory length)

Value

(Vector of length n0 sampled from the SRE model)

Examples

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