garchxSim: Simulate from a GARCH-X model

In garchx: Flexible and Robust GARCH-X Modelling

Simulate from a GARCH-X model

Description

Simulate from a GARCH(q,p,r)-X model. Optionally, if verbose=TRUE, the conditional variance and innovations are also returned.

Usage

garchxSim(n, intercept = 0.2, arch = 0.1, garch = 0.8, asym = NULL, xreg = NULL,
  innovations = NULL, backcast.values = list(), verbose = FALSE, as.zoo = TRUE,
  c.code = TRUE)

Arguments

n	integer
intercept	numeric
arch	NULL or numeric vector with the values of the ARCH-coefficients
garch	NULL or numeric vector with the values of the GARCH-coefficients
asym	NULL or numeric vector with the values of the asymmetry-coefficients
xreg	NULL or numeric vector with the values of the X-term
innovations	NULL or numeric vector with the innovations. If NULL, then standard normal innovations are generated with rnorm
backcast.values	list with backcast values
verbose	logical
as.zoo	logical. If TRUE (default), then the returned object is of class zoo
c.code	logical. If TRUE (default), then compiled C code is used for the recursion (faster). Otherwise R code is used (slower)

Value

a numeric vector or matrix with the simulated values.

Author(s)

Genaro Sucarrat, http://www.sucarrat.net/

See Also

garchx, zoo

Examples

##simulate from a garch(1,1):
y <- garchxSim(1000)

##simulate from a garch(1,1) with asymmetry/leverage:
yy <- garchxSim(1000, asym=0.1)

##simulate from a garch(1,1) w/user-provided backcast values:
yyy <- garchxSim(1000, backcast.values=list(z2=1, sigma2=0.5))

garchx documentation built on Sept. 13, 2022, 5:06 p.m.