uGARCHsim-class: class: Univariate GARCH Simulation Class
In rgarch: Flexible GARCH modelling in R

Description Extends Methods Note Author(s) See Also Examples

Class for the univariate GARCH simulation.

Class "GARCHsim", directly. Class "rGARCH", by class "GARCHsim", distance 2.

as.data.frame: signature(x = "uGARCHsim"): extracts the simulated values (see note).
plot: signature(x = "uGARCHsim", y = "missing"): simulation plots.
show: signature(object = "uGARCHsim"): simulation summary.

The as.data.frame function takes optionally 1 additional arguments, namely which, indicating the type of simulation series to extract. Valid values are “sigma” for the simulated sigma, “series” for the simulated series and “residuals” for the simulated residuals. The dimension of the data.frame will be n.sim by m.sim.

Alexios Ghalanos

Classes uGARCHforecast, uGARCHfit and uGARCHspec.

## Not run: 
# Basic GARCH(1,1) Spec
data(dmbp)
spec = ugarchspec()
fit = ugarchfit(data = dmbp[,1], spec = spec)
sim = ugarchsim(fit,n.sim=1000, n.start=1, m.sim=1, startMethod="sample")
sim
# plot(sim, which="all")
# as.data.frame takes an extra argument which
# indicating one of "sigma", "series" and "residuals"
head(as.data.frame(sim, which = "sigma"))

## End(Not run)