Nothing
# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2008, Diethelm Wuertz, Rmetrics Foundation, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: SIMULATION:
# garchSim Simulates a GARCH/APARCH process
################################################################################
test.garchSim.arch =
function()
{
# Simulation of ARCH Models:
# ARCH(1) - default omega and alpha
spec = garchSpec(model = list())
garchSim(n = 10, spec = spec)
# ARCH(1) - default omega
spec = garchSpec(model = list(alpha = 0.1))
garchSim(n = 10, spec = spec)
# ARCH(1)
spec = garchSpec(model = list(omega = 1e-6, alpha = 0.1))
garchSim(n = 10, spec = spec)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.garchSim.arma.arch =
function()
{
# Simulation of ARMA-ARCH Models:
# AR(1)-ARCH(1)
spec = garchSpec(model = list(ar = 0.5))
garchSim(n = 10, spec = spec)
# AR([1,5])-ARCH(1)
spec = garchSpec(model = list(ar = c(0.5, 0, 0, 0 ,0.1)))
garchSim(n = 10, spec = spec)
# ARMA(1,2)-ARCH(1)
spec = garchSpec(model = list(ar = 0.5, ma = c(0.3,-0.3)))
garchSim(n = 10, spec = spec)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.garchSim.dist.arch =
function()
{
# Simulation of non-normal ARCH Models:
# rsnorn-ARCH(2)
spec = garchSpec(model = list(alpha = c(0.12, 0.04), dist = 2/3),
cond.dist = "snorm")
garchSim(n = 10, spec = spec)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.garchSim.garch =
function()
{
# Simulation of GARCH Models:
# GARCH(1,1)
spec = garchSpec()
garchSim(n = 10, spec = spec)
# GARCH(1,1)
spec = garchSpec(model = list(alpha = 0.1, beta = 0.8))
garchSim(n = 10, spec = spec)
# GARCH(1,1)
spec = garchSpec(model = list(omega = 1e-6, alpha = 0.1, beta = 0.8))
garchSim(n = 10, spec = spec)
# GARCH(1,2)
spec = garchSpec(model = list(alpha = 0.1, beta = c(0.4, 0.4)))
garchSim(n = 10, spec = spec)
# GARCH(2,1)
spec = garchSpec(model = list(alpha = c(0.12, 0.04), beta = 0.08))
garchSim(n = 10, spec = spec)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.garchSim.dist.garch =
function()
{
# Simulation of non-normal GARCH Models:
# RVs:
RNGkind(kind = "Marsaglia-Multicarry", normal.kind = "Inversion")
set.seed(4711, kind = "Marsaglia-Multicarry")
# Normal - GARCH(1,1)
spec = garchSpec(model = list(), cond.dist = "norm")
garchSim(n = 10, spec = spec)
# Skewed Normal - GARCH(1,1)
spec = garchSpec(model = list(parm = 2), cond.dist = "snorm")
garchSim(n = 10, spec = spec)
# GED - GARCH(1,1)
spec = garchSpec(model = list(parm = 4), cond.dist = "ged")
garchSim(n = 10, spec = spec)
# Skewed GED - GARCH(1,1)
spec = garchSpec(model = list(parm = c(4, 2)), cond.dist = "sged")
garchSim(n = 10, spec = spec)
# Normalized Student t - GARCH(1,1)
spec = garchSpec(model = list(parm = 4), cond.dist = "std")
garchSim(n = 10, spec = spec)
# Skewed Normalized Student t - GARCH(1,1)
spec = garchSpec(model = list(parm = c(4, 2)), cond.dist = "sstd")
garchSim(n = 10, spec = spec)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.garchSim.aparch =
function()
{
# RVs:
RNGkind(kind = "Marsaglia-Multicarry", normal.kind = "Inversion")
set.seed(4711, kind = "Marsaglia-Multicarry")
# Taylor Schwert Normal GARCH(1,1)
spec = garchSpec(list(alpha = 0.1, delta = 1))
garchSim(n = 10, spec = spec)
# Return Value:
return()
}
################################################################################
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.