sim_garch1c1: Simulate GARCH(1,1) time series

In cvar: Compute Expected Shortfall and Value at Risk for Continuous Distributions

Simulate GARCH(1,1) time series

Description

Simulate GARCH(1,1) time series.

Usage

sim_garch1c1(model, n, n.start = 0, seed = NULL)

Arguments

model	a GARCH(1,1) model, an object obtained from GarchModel.
n	the length of the generated time series.
n.start	number of warm-up values, which are then dropped.
seed	an integer to use for setting the random number generator.

Details

The simulated time series is in component eps of the returned value. For exploration of algorithms and eestimation procedures, the volatilities and the standardised innovations are also returned.

The random seed at the start of the simulations is saved in the returned object. A speficific seed can be requested with argument seed. In that case the simulations are done with the specified seed and the old state of the random number generator is restored before the function returns.

Value

a list with components:

eps	the time series,
h	the (squared) volatilities,
eta	the standardised innovations,
model	the GARCH(1,1) model,
.sim	a list containing the parameters of the simulation,
call	the call.

Note

This function is under development and may be changed.

cvar documentation built on Nov. 3, 2022, 5:06 p.m.