# [R] Jump diffusion GARCH modelling/simulation in R ?

Dirk Eddelbuettel edd at debian.org
Sat May 11 16:57:30 CEST 2002

On Sat, May 11, 2002 at 02:42:08AM +0000, Neil Osborne wrote:
> Is there an R package for simulating a GARCH process (preferrably with jump

That really is simple to do in a little loop. People usually discard the
first n elements of a vector of size n+N, say n=100,N=1000.

As for the jump diffusion part, you are adding a second model on top, so why
not make an explicit mixture?  Draw a uniform, and if >\alpha, add jump
\epsilon, or an entire process, or ...

Dirk

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