Nothing
# simulating data from a STCC-GARCH(1,1) and computing a
# STCC-GARCH(1,1) volatility and dynamic conditional correlations
# source("st_functions.r")
stcc.sim <- function(nobs, a, A, B, R1, R2, tr.par, st.par, d.f = Inf, cut=1000, model){
if(model=="diagonal"){
A <- diag(diag(A)); B <- diag(diag(B))
}
if(stationarity(A, B)>1){
stop("A and B matrices do not satisfy the stationarity condition \n")
}
nobs <- nobs+cut; ndim <- length(a)
tr.var <- uni.vola.sim(tr.par, nobs, d.f = Inf, cut = cut)$eps
st <- tr.func(st.par, tr.var)
vecR <- (1-st)*matrix(R1, nobs, ndim^2, byrow=TRUE) + st*matrix(R2, nobs, ndim^2, byrow=TRUE)
Id <- diag(length(a))
inih <- solve(Id-A-B)%*%a
# sim <- .Call("stcc_sim", nobs, a, A, B, vecR, inih, d.f, PACKAGE="ccgarch")
sim <- .Call("stcc_sim", nobs, a, A, B, vecR, inih, d.f)
list( h = sim[[1]][(cut+1):nobs,],
eps = sim[[2]][(cut+1):nobs,],
tr.var = tr.var,
st = st, vecR=vecR)
}
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.