Description Usage Arguments Value Note References See Also Examples

This function simulates data either from the original CCC-GARCH by Bollerslev (1990) or from the Extended CCC-GARCH that has non-zero off-diagonal entries in the parameter matrices in the GARCH equation. The innovations (the standardised residuals) can be either a normal or student's $t$ distribution.

The dimension *(N)* is determined by the number of elements in the *\mathbf{a}* vector.

1 |

`nobs` |
a number of observations to be simulated |

`a` |
a vector of constants in the GARCH equation |

`A` |
an ARCH parameter matrix in the GARCH equation. |

`B` |
a GARCH parameter matrix in the GARCH equation. |

`R` |
a constant conditional correlation matrix |

`d.f` |
the degrees of freedom parameter for the |

`cut` |
the number of observations to be thrown away for removing initial effects of simulation |

`model` |
a character string describing the model. |

A list with components:

`h` |
a matrix of the simulated conditional variances |

`eps` |
a matrix of the simulated time series with (E)CCC-GARCH process |

When `d.f=Inf`

, the innovations (the standardised residuals) follow the standard
normal distribution. Otherwise, they follow a student's *t*-distribution with
`d.f`

degrees of freedom equal.

When `model="diagonal"`

, only the diagonal entries in *\mathbf{A}* and *\mathbf{B}* are used. If the
ARCH and GARCH matrices do not satisfy the stationarity condition, the simulation is
terminated.

Bollerslev, T. (1990),
“Modeling the Coherence in Short-Run Nominal Exchange
Rates: A Multivariate Generalized ARCH Approach”,
*Review of Economics and Statistics*,
**72**, 498–505.

Nakatani, T. and T. Ter\"asvirta (2009),
“Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model”,
*Econometrics Journal*, **12**, 147–163.

Nakatani, T. and T. Ter\"asvirta (2008),
“Appendix to *Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model*”
Department of Economic Statistics, Stockholm School of Economics,
available at http://swopec.hhs.se/hastef/abs/hastef0649.htm.

1 2 3 4 5 6 7 8 9 10 11 12 | ```
# Simulating data from the original CCC-GARCH(1,1) process
nobs <- 1000; cut <- 1000; nu <- 10
a <- c(0.003, 0.005, 0.001)
A <- diag(c(0.2,0.3,0.15))
B <- diag(c(0.79, 0.6, 0.8))
R <- matrix(c(1.0, 0.4, 0.3, 0.4, 1.0, 0.12, 0.3, 0.12, 1.0),3,3)
## Not run:
ccc.data <- eccc.sim(nobs,a, A, B, R, model="diagonal")
ccc.data.t <- eccc.sim(nobs,a, A, B, R, d.f=nu, model="diagonal")
## End(Not run)
``` |

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