HARsimulate: HAR simulation

In HARModel: Heterogeneous Autoregressive Models

Description

Simulates a HAR model. From using the AR representation of the HAR model.

Usage

HARSimulate(len=1500, periods = c(1, 5, 22), 
            coef = c(0.01, 0.36 ,0.28 , 0.28), errorTermSD = 0.001)

Arguments

len	An integer determining the length of the simulated process.
periods	A numeric of lags for constructing the model, standard is c(1,5,22).
coef	A numeric of coefficients which will be used to simulate the process.
errorTermSD	A numeric determining the standard deviation of the error term.

Value

A HARSim object

Author(s)

Emil Sjoerup

References

Corsi, F. 2009, A Simple Approximate Long-Memory Model of Realized Volatility, Journal of Financial Econometrics, 174–196.

Examples

set.seed(123)
#Simulate the process of size 10000
HARSim = HARSimulate(len = 10000, periods = c(1, 5, 22),
                     coef = c(0.01, 0.36, 0.28, 0.28), errorTermSD = 0.001)
HARFit = HAREstimate(HARSim@simulation, periods = c(1, 5, 22))

HARModel documentation built on Aug. 31, 2019, 5:05 p.m.