arfimapath-methods: function: ARFIMA Path Simulation

In rugarch: Univariate GARCH Models

function: ARFIMA Path Simulation

Description

Method for simulating the path of an ARFIMA model. This is a convenience function which does not require a fitted object (see note below).

Usage

arfimapath(spec, n.sim = 1000, n.start = 0, m.sim = 1, prereturns = NA, 
	preresiduals = NA, rseed = NA, 
	custom.dist=list(name = NA, distfit = NA, type = "z"), mexsimdata=NULL, ...)

Arguments

spec	An ARFIMA object of class ARFIMAspec with the required parameters of the model supplied via the fixed.pars list argument.
n.sim	The simulation horizon.
n.start	The burn-in sample.
m.sim	The number of simulations.
prereturns	Allows the starting return data to be provided by the user.
preresiduals	Allows the starting residuals to be provided by the user.
rseed	Optional seeding value(s) for the random number generator.
custom.dist	Optional density with fitted object from which to simulate. The “type” argument denotes whether the standardized innovations are passed (“z”) else the innovations (anything other than “z”).
mexsimdata	Matrix of simulated external regressor-in-mean data. If the fit object contains external regressors in the mean equation, this must be provided.
...	.

Details

This is a convenience method to allow path simulation of ARFIMA models without the need to supply a fit object as in the arfimasim method. Instead, an arfima spec object is required with the model parameters supplied via the setfixed<- argument to the spec.

Value

A ARFIMApath object containing details of the ARFIMA path simulation.

Author(s)

Alexios Ghalanos

rugarch documentation built on Sept. 30, 2024, 9:30 a.m.