arfimasim-methods: function: ARFIMA Simulation

In rugarch: Univariate GARCH Models

function: ARFIMA Simulation

Description

Method for simulation from ARFIMA models.

Usage

arfimasim(fit, n.sim = 1000, n.start = 0, m.sim = 1, startMethod = 
	c("unconditional", "sample"), prereturns = NA, preresiduals = NA, 
	rseed = NA, custom.dist = list(name = NA, distfit = NA, type = "z"), 
	mexsimdata = NULL, ...) 

Arguments

fit	An ARFIMA fit object of class ARFIMAfit.
n.sim	The simulation horizon.
n.start	The burn-in sample.
m.sim	The number of simulations.
startMethod	Starting values for the simulation.
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”). See notes below for details.
mexsimdata	Matrix of simulated external regressor-in-mean data. If the fit object contains external regressors in the mean equation, this can be provided else will be ignored.
...	.

Details

The custom.dist option allows for defining a custom density which exists in the users workspace with methods for “r” (sampling, e.g. rnorm) and “d” (density e.g. dnorm). It must take a single fit object as its second argument. Alternatively, custom.dist can take any name in the name slot (e.g.“sample”) and a matrix in the fit slot with dimensions equal to m.sim (columns) and n.sim (rows).

Value

A ARFIMAsim object containing details of the ARFIMA simulation.

Author(s)

Alexios Ghalanos

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