mvBEKK.sim: Simulate a BEKK(p,q) model

In vst/mgarch: Tools for simulating, estimating and diagnosing MGARCH processes

Description

mvBEKK.sim simulates an N dimensional BEKK(p,q) model for the given length, order list, and initial parameter list where N is also specified by the user.

Usage

mvBEKK.sim(series.count, T, order = c(1,1), params = NULL)

Arguments

series.count	number of the series to be simulated.
T	length of the series to be simulated.
order	an integer vector of length 2 giving the orders of the model to fit. order[2] refers to the ARCH order and order[1] to the GARCH order.
params	a vector containing a sequence of parameter matrices' values

Details

mvBEKK.sim simulates a BEKK(p,q) model, where p stands for the GARCH order and q stands for the ARCH order

Value

A list of class "mvBEKK.sim" with the following elements:

length	length of the series simulated
order	order of the BEKK model
params	a vector of the selected parameters
true.params	list of parameters in matrix form
eigenvalues	computed eigenvalues for sum of Kronecker products
uncond.cov.matrix	unconditional covariance matrix of the process
white.noise	white noise series used for simulating the process
eps	a list of simulated series
cor	list of series of conditional correlations
sd	list of series of conditional standard deviations

Author(s)

Harald SCHMIDBAUER [e-mail], Vehbi Sinan TUNALIOGLU [e-mail]

References

Bauwens L., S. Laurent, J.V.K. Rombouts: Multivariate GARCH models: A survey, April, 2003

Bollerslev T.: Modelling the coherence in short-run nominal exchange rate: A multivariate generalized ARCH approach, Review of Economics and Statistics, 498–505, 72, 1990

Engle R.F., K.F. Kroner: Multivariate simultaneous generalized ARCH, Econometric Theory, 122-150, 1995

Engle R.F.: Dynamic conditional correlation: A new simple class of multivariate GARCH models, Journal of Business and Economic Statistics, 339–350, 20, 2002

Tse Y.K., A.K.C. Tsui: A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations, Journal of Business and Economic Statistics, 351-362, 20, 2002

See Also

mvBEKK.est for estimation of BEKK models; mvBEKK.diag for printing out mvBEKK.est in a fancy format.

Examples

## Not run: 
sim = mvBEKK.sim(series.count = 3, T = 2500)

## End(Not run)

vst/mgarch documentation built on May 3, 2019, 7:09 p.m.