library("e1071") # kurtosis
library("forecast") # Acf, Pacv
library("rugarch") # ugarch*
Loading required package: methods
Loading required package: parallel
Attaching package: 'rugarch'
The following object is masked from 'package:stats':
sigma
library("tseries") # garch
source("http://ptrckprry.com/course/forecasting/code/ad.test.R") # ad.test
n <- 600
arch2.spec = ugarchspec(variance.model = list(garchOrder=c(2,0)),
mean.model = list(armaOrder=c(0,0)),
fixed.pars=list(mu = 0, omega=0.25, alpha1=0.6, alpha2=0.35))
arch2.sim <- ugarchpath(arch2.spec, n.sim=n)
x <- drop(arch2.sim@path$seriesSim)[101:600]
time <- 1:length(x)
plot(time, x, type="l", col=2)
Original Series
par(mfrow=c(1,2))
Acf(x)
Pacf(x)
Squares
par(mfrow=c(1,2))
Acf(x^2)
Pacf(x^2)