General Information
Generates a realization of a time series from an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
- Classification
| L6a20 | t and triangular random numbers, random time series |
- Type
- subroutine in NAG package (G05 sublibrary)
- Language
- Fortran
- Availability
- Proprietary, Portable
Module G05PFF in NAG