function: GO-GARCH Simulation

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Description

Method for simulation from a fitted GO-GARCH model.

Usage

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gogarchsim(fit, n.sim = 1, n.start = 0, m.sim = 1, startMethod = c("unconditional", "sample"), 
		prereturns = NA, mexsimdata = NULL, rseed = NULL, parallel = FALSE, 
		parallel.control = list(pkg = c("multicore", "snowfall"), cores = 2), ...)

Arguments

fit

A GO-GARCH fit object of class goGARCHfit.

n.sim

The simulation horizon.

n.start

The burn-in sample.

m.sim

The number of simulations.

startMethod

Starting values for the simulation. Valid methods are “unconditional” for the expected values given the density, and “sample” for the ending values of the actual data from the fit object.

prereturns

Allows the starting return data to be provided by the user.

mexsimdata

A list of matrices with the simulated lagged external variables (if any). The list should be of size m.sim and the matrices each have n.sim + n.start rows.

rseed

Optional seeding value(s) for the random number generator.

parallel

Whether to make use of parallel processing on multicore systems.

parallel.control

The parallel control options including the type of package for performing the parallel calculations (‘multicore’ for non-windows O/S and ‘snowfall’ for all O/S), and the number of cores to make use of.

...

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Value

A goGARCHsim object containing details of the GO-GARCH simulation.

Author(s)

Alexios Ghalanos

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