GARCHProcess

GARCHProcess[κ,{α1,…,αq},{β1,…,βp}] represents a generalized autoregressive conditionally heteroscedastic process of orders p and q, driven by a standard white noise.

GARCHProcess[κ,{α1,…,αq},{β1,…,βp},init] represents a GARCH process with initial data init.

Examples

Create a GARCH(1,1) process:

proc = GARCHProcess[0.1, {0.2}, {0.7}]

Simulate the process:

RandomFunction[GARCHProcess[0.1, {0.2}, {0.7}], {0, 100}]

Please visit the official Wolfram Language Reference for more details.