dot-sim.bekk: Simulate BEKK data.

Description Usage Arguments Details Value Author(s)

Description

Simulates time series data from specified BEKK model.

Usage

1
.sim.bekk(N, C, A, B, phi = NULL, theta = NULL)

Arguments

N

Integer. Length of time series.

C

Numeric square matrix. Constant covariance matrix (C). Must be symmetric.

A

Numeric square matrix. Moving average GARCH matrix (A).

B

Numeric square matrix. Autoregressive ARCH matrix (B).

phi

Numeric square matrix (Optional). Autoregressive coefficients (Phi).

theta

Numeric square matrix (Optional). Moving average coefficients (Theta).

Details

Simulates timeseries data from specified BEKK model. Number of time series computed from the number of columns in C. All matrices must be of the same dimension. If ARMA parameters (phi, theta) unspecified (NULL), then assumes a constant mean of zero.

Value

Matrix of observations.

Author(s)

Stephen R. Martin


bmgarch documentation built on Dec. 14, 2021, 5:07 p.m.