gas_simulate: Simulate GAS Model

In gasmodel: Generalized Autoregressive Score Models

Simulate GAS Model

Description

A function for simulation of generalized autoregressive score (GAS) models of Creal et al. (2013) and Harvey (2013). Instead of supplying arguments about the model, the function can be applied to the gas object obtained by the gas() function.

Usage

gas_simulate(
  gas_object = NULL,
  t_sim = 1L,
  x_sim = NULL,
  distr = NULL,
  param = NULL,
  scaling = "unit",
  regress = "joint",
  n = NULL,
  p = 1L,
  q = 1L,
  par_static = NULL,
  par_link = NULL,
  par_init = NULL,
  coef_est = NULL
)

Arguments

gas_object	An optional GAS estimate, i.e. a list of S3 class gas returned by function gas().
t_sim	A number of observations to simulate.
x_sim	Exogenous variables used for simulations. For a single variable common for all time-varying parameters, a numeric vector. For multiple variables common for all time-varying parameters, a numeric matrix with observations in rows. For individual variables for each time-varying parameter, a list of numeric vectors or matrices in the above form. The number of observation must be equal to t_sim.
distr, param, scaling, regress, n, p, q, par_static, par_link, par_init, coef_est	When gas_object is not supplied, the estimated model can be specified using these individual arguments. See the arguments and value of the gas() function for more details.

Value

A list of S3 class gas_simulate with components:

data$x_sim	The exogenous variables used in simulation.
model$distr	The conditional distribution.
model$param	The parametrization of the conditional distribution.
model$scaling	The scaling function.
model$regress	The specification of the regression and dynamic equation.
model$t_sim	The length of the simulated time series.
model$n	The dimension of the model.
model$m	The number of exogenous variables.
model$p	The score order.
model$q	The autoregressive order.
model$par_static	The static parameters.
model$par_link	The parameters with the logarithmic/logistic links.
model$par_init	The initial values of the time-varying parameters.
model$coef_est	The estimated coefficients.
simulation$y_sim	The simulated time series.
simulation$par_tv_sim	The simulated time-varying parameters.
simulation$score_tv_sim	The simulated scores.

Note

Supported generic functions for S3 class gas_simulate include summary() ans plot().

References

Creal, D., Koopman, S. J., and Lucas, A. (2013). Generalized Autoregressive Score Models with Applications. Journal of Applied Econometrics, 28(5), 777–795. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1002/jae.1279")}.

Harvey, A. C. (2013). Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series. Cambridge University Press. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1017/cbo9781139540933")}.

See Also

gas()

Examples

# Simulate GAS model based on the negative binomial distribution
sim_negbin <- gas_simulate(t_sim = 50, distr = "negbin", reg = "sep",
  coef_est = c(2.60, 0.02, 0.95, 0.03))
sim_negbin

# Plot the simulated time series
plot(sim_negbin)

gasmodel documentation built on Aug. 19, 2025, 1:15 a.m.