Preamble
library("forecast")
library("rugarch")
Loading required package: methods
Loading required package: parallel
Attaching package: 'rugarch'
The following object is masked from 'package:stats':
sigma
ARCH(1)
n <- 500
time <- 1:n
for (i in 1:5) {
arch1.spec = ugarchspec(variance.model = list(garchOrder=c(1,0)),
mean.model = list(armaOrder=c(0,0)),
fixed.pars=list(mu = 0, omega=0.25, alpha1=0.5))
arch1.sim <- ugarchpath(arch1.spec, n.sim=n)
arch1 <- drop(arch1.sim@path$seriesSim)
arch1.int <- cumsum(arch1)
par(mfrow=c(1,2))
plot(time, arch1, col=2, type="l")
plot(time, arch1.int, col=2, type="l")
}

