RegArchSim: Simulation of the model

In RRegArch: General univariate ARCH models simulation and estimation

Description

This function returns a simulation of the model.

Usage

    RegArchSim(nSimul, model)

Arguments

nSimul	integer : number of observations generated
model	a RegArchModelClass object describing the model. See modelSet

Value

A list with:

Yt	The vector of objervations
mt	The vector of conditional means
ht	The vector of conditional variances
ut	The vector of conditional residuals
Epst	The vector of standardized conditional residuals

Examples

 # AR2 model with constant
    mm1 <- meanSet(AR=c(0.1,0.2), CONST=2.0)
 # GARCH(2,1) model 
    hh2 <- varSet(GARCH=list(ConstVar=.1, ARCH=c(.1, .2), GARCH=c(.6)))
 # set Student with 10 dof conditional distribution
    rr2 <- residualsSet('STUDENT', 10)
 #set AR2 - GARCH(2,1) model with Student residuals
    model1 <- modelSet(mm1, hh2, rr2)
 # Simulation of the model
    Value <- RegArchSim(nSimul=1000, model1)

RRegArch documentation built on May 2, 2019, 4:59 p.m.