geovolSim: Simulate from a GEOVOL model

In geovol: Geopolitical Volatility (GEOVOL) Modelling

Simulate from a GEOVOL model

Description

Simulate from a GEOVOL model.

Usage

geovolSim(n, m, innovations = NULL, x.sd = 0.5, as.zoo = TRUE, verbose = FALSE)

Arguments

n	integer indicating the number of observations.
m	integer indicating the number of time series.
innovations	NULL or numeric vector with the innovations. If NULL, then standard normal innovations are generated with rnorm.
x.sd	numeric scalar indicating the standard deviation of the normal random variable, v, used to simulate the squared GEOVOL factor, x, according to the formula x = exp(v).
as.zoo	logical. If TRUE, then the returned result is of class zoo.
verbose	logical, if TRUE, the simulated time series, e, the innovations and the squared GEOVOL factor, x, are also returned.

Value

A matrix with the simulated values.

Author(s)

Susana Campos-Martins

See Also

geovol, geovolTest,

Examples

set.seed(123)

## Simulate from a GEOVOL model with s.d. 0.5 (default):
eSim <- geovolSim(n = 1000, m = 30)

## Simulate from a GEOVOL model with s.d. 1:
eSim <- geovolSim(n = 1000, m = 30, x.sd = 1)

geovol documentation built on June 8, 2025, 11:38 a.m.