Dear Users,

I would like to simulate an AR(1) (y_t=ct1+y_t-1+e_t) model in R where the innovations are supposed to follow a t-GARCH(1,1) proccess. 

By t-GARCH I want to mean that:

e_t=n_t*sqrt(h_t) and
h_t=ct2+a*(e_t)^2+b*h_t-1.

where n_t is a random variable with t-Student distribution.

If someone could give some guidelines, I can going developing the model.
I did it in matlab, but the loops are very slowly, so I would like to try R.

Thanks in advance,

Rick
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