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GARCH11 - 1000 Iterates of a GARCH(1,1 Series 6 4 2...

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2 146 20 38 56 74 92 110 128164 182 200 218 236 254 272 290 308 326 344 362 380 398 416 434 452 470 488 506 524 542 560 578 596 614 632 650 668 686 704 722 740 758 776 794 812 830 848 866 884 902 920 938 956 974 992 -6 -4 -2 0 2 4 6 1000 Iterates of a GARCH(1,1) Series Column D Sample Number Simulated Return
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0.35 -0.38 0.25 -0.19 alpha 0.4 0.15 -1.05 0.14 -0.4 beta 0.1 0.72 0.57 0.16 0.23 gamma 0.5 0.41 -0.24 0.12 -0.08 sigma0^2 0.25 0.04 -1.71 0.07 -0.47 0.31 -0.49 0.16 -0.2 0.47 -0.07 0.11 -0.02 0.34 -0.41 0.07 -0.11 0.53 0.08 0.06 0.02 0.15 -1.04 0.05 -0.23 0.49 -0.03 0.07 -0.01 0.64 0.37 0.05 0.09 0.14 -1.06 0.05 -0.24 0.57 0.17 0.07 0.04 0.92 1.42 0.06 0.33 0.79 0.79 0.1 0.25 0.86 1.09 0.1 0.34 0.72 0.59 0.12 0.21 0.52 0.05 0.1 0.02 0.1 -1.25 0.06 -0.32 0.78 0.78 0.1 0.25 0.37 -0.33 0.1 -0.1 0.25 -0.68 0.07 -0.18 0 -3.27 0.07 -0.85 0.09 -1.35 0.42 -0.87 0.02 -2.17 0.57 -1.64 0.21 -0.81 1.6 -1.03 0.7 0.52 1.19 0.57 0.57 0.17 0.66 0.14 0.35 -0.4 0.3 -0.22 0.08 -1.43 0.17 -0.59 0.92 1.41 0.26 0.72 0.49 -0.02 0.39 -0.01 0.79 0.81 0.18 0.35 0.33 -0.45 0.16 -0.18 0.54 0.09 0.1 0.03 0.1 -1.26 0.07 -0.33 0.8 0.84 0.11 0.27 0.88 1.16 0.1 0.38 0.64 0.35 0.14 0.13 0.95 1.63 0.09 0.48 0.37 -0.34 0.18 -0.14 0.28 -0.58 0.11 -0.19 0.09 -1.32 0.09 -0.39 0.93 1.49 0.13 0.55 0.2 -0.84 0.23 -0.4 0.88 1.17 0.2 0.52 0.79 0.82 0.24 0.4 0.92 1.42 0.2 0.64 0.4 -0.26 0.31 -0.14 0.9 1.28 0.16 0.51 0.7 0.54 0.22 0.25 0.77 0.74 0.14 0.28
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0.15 -1.05 0.12 -0.37 0.7 0.54 0.14 0.2 0.86 1.08 0.1 0.34 0.16 -0.99 0.12 -0.35 0.91 1.36 0.14 0.5 0.56 0.14 0.2 0.06 0.73 0.61 0.11 0.2 0.26 -0.65 0.09 -0.19 0.63 0.34 0.08 0.1 0.65 0.39 0.06 0.1 0.75 0.68 0.05 0.16 0.43 -0.19 0.06 -0.05 0.98 2.03 0.05 0.45 0.29 -0.56 0.15 -0.21 0.53 0.07 0.11 0.02 0.78 0.77 0.07 0.2 0.17 -0.97 0.07 -0.26 0.16 -0.98 0.09 -0.29 0.73 0.6 0.1 0.19 0.53 0.08 0.08 0.02 0.44 -0.14 0.06 -0.03 0.82 0.91 0.05 0.2 0.46 -0.09 0.07 -0.02 0.64 0.37 0.05 0.08 0.7 0.52 0.05 0.12 0.26 -0.65 0.05 -0.15 0.57 0.17 0.06 0.04 0.1 -1.29 0.05 -0.28 0.16 -1 0.08 -0.29 0.27 -0.61 0.1 -0.19 0.87 1.12 0.08 0.33 0.31 -0.51 0.11 -0.17 0.98 1.98 0.08 0.58 0.73 0.61 0.22 0.29 0.47 -0.08 0.16 -0.03 0.89 1.22 0.09 0.36 0.29 -0.57 0.13 -0.2 0.2 -0.85 0.1 -0.26 0.15 -1.04 0.1 -0.33 0.92 1.4 0.12 0.48 0.85 1.03 0.19 0.44 0.9 1.28 0.2 0.57 0.34 -0.4 0.27 -0.21 0.83 0.94 0.15 0.37 0.19 -0.89 0.15 -0.35 0.87 1.14 0.15 0.44 0.6 0.27 0.18 0.11 0.35 -0.38 0.1 -0.12 0.04 -1.8 0.07 -0.49 0.33 -0.44 0.17 -0.18 0.89 1.2 0.11 0.4 0.48 -0.05 0.15 -0.02 0.15 -1.03 0.08 -0.3
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0.35 -0.39 0.1 -0.12 0.12 -1.15 0.07 -0.31 0.85 1.04 0.1 0.33 0.61 0.28 0.12 0.1 0.69 0.5 0.08 0.14 0.95 1.63 0.07 0.42 0.77 0.73 0.14 0.27 0.96 1.79 0.12 0.62 0.82 0.91 0.26 0.46 0.07 -1.46 0.24 -0.71 0.94 1.55 0.37 0.95 0.55 0.12 0.62 0.09 0.54 0.1 0.28 0.05 0.83 0.95 0.14 0.35 0.83 0.96 0.14 0.36 0.74 0.63 0.15 0.24 0.98 2.01 0.11 0.68 0.75 0.67 0.3 0.37 0.58 0.21 0.21 0.1 0.88 1.16 0.11 0.39 0.09 -1.32 0.15 -0.51 0.41 -0.22 0.21 -0.1 0.07 -1.51 0.12 -0.51 0.97 1.83 0.2 0.82 0.02 -2.14 0.44 -1.42 0.42 -0.2 1.22 -0.22 0 -2.83 0.54 -2.07 0.35 -0.39 2.39 -0.6 0.3 -0.51 1.16 -0.55 0.48 -0.04 0.64 -0.04 0.5 0 0.28 0 0.65 0.4 0.14 0.15 0.61 0.27 0.09 0.08 0.35 -0.39 0.06 -0.1 0.26 -0.63 0.06 -0.15 0.3 -0.53 0.06 -0.13 0.3 -0.53 0.06 -0.13 0.03 -1.89 0.06 -0.45 0.26 -0.63 0.15 -0.24 0.11 -1.2 0.11 -0.4 0.1 -1.27 0.15 -0.5 0.2 -0.83 0.21 -0.38 0.66 0.42 0.18 0.18 0.64 0.36 0.11 0.12 0.03 -1.85 0.08 -0.52 0.49 -0.02 0.19 -0.01 0.38 -0.31 0.1 -0.1 0.01 -2.35 0.07 -0.62 0.24 -0.7 0.25 -0.35 0.96 1.77 0.18 0.76 0.89 1.21 0.38 0.75 0.34 -0.42 0.46 -0.29 0.37 -0.32 0.25 -0.16
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0.95 1.68 0.14 0.62 0.3 -0.52 0.27 -0.27 0.39 -0.28 0.17 -0.12 0.37 -0.33 0.1 -0.1 0.31 -0.51 0.07 -0.14 0.74 0.63 0.06 0.16 0.68 0.46 0.06 0.11 0.79 0.8 0.06 0.19 0.24 -0.72 0.07 -0.18 0.33 -0.44 0.07 -0.11 0.4 -0.27 0.06 -0.06 0.58 0.21 0.05 0.05 0.59 0.24 0.05 0.05 0.69 0.51 0.04 0.11 0.88 1.18 0.05 0.26 0.62 0.31 0.08 0.09 0.96 1.72 0.06 0.42 1 2.68 0.14 1 0.72 0.6 0.58 0.45 0.16 -0.99 0.36 -0.6 0.66 0.41 0.35 0.24 0.37 -0.34 0.19 -0.15 0.19 -0.87 0.11 -0.29 0.15 -1.03 0.11 -0.35 0.74 0.65 0.13 0.24 0.2 -0.84 0.11 -0.27 0.39 -0.27 0.1 -0.09 0.7 0.53 0.07 0.14 0.09 -1.35 0.06 -0.34 0.73 0.61 0.11 0.2 0.08 -1.43 0.09 -0.43 0.04 -1.73 0.15 -0.67 0.03 -1.84 0.31 -1.02 0.47 -0.09 0.67 -0.07 0.41 -0.22 0.3 -0.12 0.34 -0.42 0.15 -0.16 0.2 -0.83 0.1 -0.26 0.09 -1.33 0.1 -0.42 0.13 -1.15 0.15 -0.45 0.44 -0.16 0.19 -0.07 0.42 -0.19 0.1 -0.06 0.52 0.05 0.07 0.01 0.02 -2.02 0.05 -0.46 0.02 -2.12 0.15 -0.83 0.22 -0.79 0.43 -0.52 0.9 1.3 0.33 0.74 0.64 0.36 0.43 0.24 0.17 -0.94 0.23 -0.45 0.9 1.28 0.22 0.59 0.37 -0.34 0.29 -0.18 0.33 -0.43 0.16 -0.17 0.56 0.14 0.1 0.05 0.73 0.62 0.07 0.16
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0.52 0.06 0.06 0.02 0.71 0.55 0.05 0.12 0.47 -0.07 0.05 -0.02 0.73 0.6 0.05 0.13 0.1 -1.28 0.05 -0.29 0.18 -0.93 0.09 -0.28 0.81 0.9 0.1 0.28 0.83 0.96 0.1 0.31 0.25 -0.67 0.11 -0.23 0.86 1.07 0.1 0.33 0.86 1.1 0.12 0.38 0.72 0.58 0.14 0.22 0.27 -0.61 0.11 -0.2 0.2 -0.83 0.09 -0.25 0.92 1.4 0.09 0.42 0.36 -0.35 0.15 -0.14 0.33 -0.44 0.09 -0.14 0.36 -0.37 0.07 -0.1 0.79 0.79 0.06
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