fsvsim: Simulate data from a factor SV model

Description

fsvsim generates simulated data from a factor SV model.

Usage

fsvsim(n = 1000, series = 10, factors = 1, facload = "dense", idipara, facpara, heteroskedastic = rep(TRUE, series + factors))

Arguments

Length of the series to be generated.

series

Number of component series m.

factors

Number of factors r.

facload

Can either be a matrix of dimension m times r or one of the keywords "dense" and "sparse". If "dense" is chosen, a (rather) dense lower triangular factor loadings matrix is randomly generated. If "sparse" is chosen, a (rather) sparse lower triangular factor loadings matrix is randomly generated.

idipara

Optional matrix of idiosyncratic SV parameters to be used for simulation. Must have exactly three columns containing the values of mu, phi and sigma for each of m series, respectively. If omitted, plausible values are generated.

facpara

Optional matrix of idiosyncratic SV parameters to be used for simulation. Must have exactly two columns containing the values of phi and sigma for each of r factors, respectively. If omitted, plausible values are generated.

heteroskedastic

Logical vector of length m+r. When TRUE, time-varying volatilities are generated; when FALSE, constant volatilities (equal to mu) are generated.

Value

The value returned is a list object of class fsvsim holding

yThe simulated data, stored in a n times m matrix with colnames 'Sim1', 'Sim2', etc.
fThe simulated factors, stored in a r times r matrix.
facloadFactor loadings matrix.
facvolLatent factor log-variances for times 1 to n.
facvol0Initial factor log-variances for time 0.
facparaThe parameters of the factor volatility processes.
idivolLatent idiosyncratic log-variances for times 1 to n.
idivol0Initial idiosyncratic log-variances for time 0.
idiparaThe parameters of the idiosyncratic volatility processes.