View source: R/simulate_mfgarch.R
simulate_mfgarch | R Documentation |
This function simulates a GARCH-MIDAS model. Innovations can follow a standard normal or student-t distribution.
simulate_mfgarch( n.days, mu, alpha, beta, gamma, m, theta, w1 = 1, w2, K, psi, sigma.psi, low.freq = 1, n.intraday = 288, student.t = NULL, corr = 0 )
n.days |
number of days |
mu |
mu |
alpha |
alpha |
beta |
beta |
gamma |
gamma |
m |
m |
theta |
theta |
w1 |
w1 |
w2 |
w2 |
K |
K |
psi |
psi |
sigma.psi |
sigma.psi |
low.freq |
number of days per low-frequency period |
n.intraday |
number of maximum intraday returns |
student.t |
either NULL or degrees of freedom |
corr |
correlation between innovations (should only be used for daily tau) |
simulate_mfgarch(n.days = 200, mu = 0, alpha = 0.06, beta = 0.92, gamma = 0, m = 0, theta = 0.1, w1 = 1, w2 = 3, K = 12, psi = 0.98, sigma.psi = 0.1, low.freq = 10)
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