pc_cccsim-methods: A method to simulate nonstationary high-dimensional CCC GARCH...
In segMGarch: Multiple Change-Point Detection for High-Dimensional GARCH Processes
pc_cccsim-class R Documentation
A method to simulate nonstationary high-dimensional CCC GARCH models.
Description
A S4 method that takes as an input a simMGarch object and outputs a simulated nonstationary CCC model. The formulation of the of the
piecewise constant CCC model is given in the simMGarch class.
Usage
pc_cccsim(object)
## S4 method for signature 'simMGarch'
pc_cccsim(object)
Arguments
object
a simMGarch object
References
Cho, H. and Korkas, K.K., 2022. High-dimensional GARCH process segmentation with an application to Value-at-Risk. Econometrics and Statistics, 23, pp.187-203.
Examples
pw.CCC.obj <- new("simMGarch")
pw.CCC.obj <- pc_cccsim(pw.CCC.obj)
par(mfrow=c(1,2))
ts.plot(pw.CCC.obj@y[1,],main="a single simulated time series",ylab="series")
ts.plot(pw.CCC.obj@h[1,],main="a single simulated conditional variance",ylab="variance")
segMGarch documentation built on Aug. 8, 2025, 6:07 p.m.
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| pc_cccsim-class | R Documentation |
A method to simulate nonstationary high-dimensional CCC GARCH models.
Description
A S4 method that takes as an input a simMGarch object and outputs a simulated nonstationary CCC model. The formulation of the of the
piecewise constant CCC model is given in the simMGarch class.
Usage
pc_cccsim(object)
## S4 method for signature 'simMGarch'
pc_cccsim(object)
Arguments
object |
a simMGarch object |
References
Cho, H. and Korkas, K.K., 2022. High-dimensional GARCH process segmentation with an application to Value-at-Risk. Econometrics and Statistics, 23, pp.187-203.
Examples
pw.CCC.obj <- new("simMGarch")
pw.CCC.obj <- pc_cccsim(pw.CCC.obj)
par(mfrow=c(1,2))
ts.plot(pw.CCC.obj@y[1,],main="a single simulated time series",ylab="series")
ts.plot(pw.CCC.obj@h[1,],main="a single simulated conditional variance",ylab="variance")
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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