Description Usage Arguments Value See Also Examples
Simulation of a Engle or Aielli MGARCH(1,1) DCC semi-diagonal with student or normal noise
1 | GarchDCC.sim(n, Omega, A, B, alpha, beta, S, nu = Inf, valinit = 500, model, noise)
|
With usual notations of MGARCH(1,1) DCCC
n |
Number of observation |
Omega |
Vector Omega (constant) |
A |
Matrix A |
B |
Vector of the diagonal of B |
alpha |
Scalar alpha in Aielli's notation |
beta |
Scalar beta in Aielli's notation |
S |
Variance of the noise (matrix) |
nu |
Degrees of freedom of the t-distribution, leave blank if normal-noise |
valinit |
Burn-in |
model |
type="Engle" for estimation as an Engle-DCC
|
noise |
"normal" or "student" |
eps |
Simulations |
cor |
Correlation Matrix |
EbEEMGARCH
Homepage of the documentation
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 | ###
#Simulation of a Aielli DCC semi-diagonal with student noise
###
Omega <- c(0.01, 0.01);
A <- matrix(c(0.03, 0.01, 0.01, 0.03), nrow = 2)
B <- c(0.8, 0.8);
S <- matrix(c(1, 0.4, 0.4, 1), nrow = 2)
alpha <- 0.05;
beta <- 0.99 - alpha
n <- 2500
nu <-14
eps <- GarchDCC.sim(n, Omega, A, B, alpha, beta, S, nu = nu, noise = "student",model="Aielli")
###
#Simulation of a Engle DCC semi-diagonal with normal noise
###
eps <- GarchDCC.sim(n, Omega, A, B, alpha, beta, S, nu = Inf, noise = "normal",model="Engle")
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