simMSM: Simulation From Multifractal Model

In ahoundetoungan/multifractal: Multifractal volatility models

Description

Simulates returns following multifractal model with leverage.

Usage

simMSM(parms, kbar, N = 1000L, leverage = TRUE, NL = NULL)

Arguments

parms	the vector of model parameters.
kbar	the number of components.
N	the sample size.
leverage	a boolean value indicating if the model has leverage or not.
NL	A parameter NL as integer required for the leverage effect. The default value NULL set NL to 70, which is the suggested value by Augustyniak et al. (2019) for daily return (see fitMSM).

Value

a vector of returns

Examples

## Not run: 
# Model without leverage
parms1 <- c("m0" = 0.97, "sigma2" = 1e-2, "b" = 2.7, "gamma1" = 0.95)
y1     <- simMSM(parms = parms1, kbar = 5, leverage = FALSE)

plot(y1, type = "l")

# Model with leverage
parms2 <- c("m0" = 0.37, "sigma2" = 1e-2, "b" = 2.7, "gamma1" = 0.95, "l1" = 1.35, "thetal" = 0.99)
y2     <- simMSM(parms = parms2, kbar = 5, leverage = TRUE)

plot(y2, type = "l")

## End(Not run)

ahoundetoungan/multifractal documentation built on Dec. 27, 2019, 2:17 a.m.