ARCHProcess

ARCHProcess[κ, {α1, ..., αq}] represents an autoregressive conditionally heteroscedastic process of order q, driven by a standard white noise.

ARCHProcess[κ, {α1, ..., αq}, init] represents an ARCH process with initial data init.

Examples

Create an ARCH(1) process:

proc = ARCHProcess[0.1, {0.5}]

Simulate the process:

RandomFunction[ARCHProcess[0.1, {0.3}], {0, 100}]

Please visit the official Wolfram Language Reference for more details.