Usage
ugarchdistribution(fitORspec, n.sim = 2000, n.start = 1,
m.sim = 100, recursive = FALSE, recursive.length = 6000, recursive.window = 1000,
presigma = NA, prereturns = NA, preresiduals = NA, rseed = NA,
custom.dist = list(name = NA, distfit = NA), mexsimdata = NULL, vexsimdata = NULL,
fit.control = list(), solver = "solnp", solver.control = list(), parallel = FALSE,
parallel.control = list(pkg = c("multicore", "snowfall"), cores = 2), ...)Arguments
fitORspec
Either a univariate GARCH fit object of class uGARCHfit or
alternatively a univariate GARCH specification object of class uGARCHspec
with valid parameters supplied via the
n.sim
The simulation horizon.
n.start
The burn-in sample.
m.sim
The number of simulations.
recursive
Whether to perform a recursive simulation on an expanding window.
recursive.length
If recursive is TRUE, this indicates the final length of the simulation
horizon, with starting length n.sim.
recursive.window
If recursive is TRUE, this indicates the increment to the expanding
window. Together with recursive.length, it determines the total number
of separate and increasing length windows which will be simulated and fitted.
presigma
Allows the starting sigma values to be provided by the user.
prereturns
Allows the starting return data to be provided by the user.
preresiduals
Allows the starting residuals to be provided by the user.
rseed
Optional seeding value(s) for the random number generator.
custom.dist
Optional density with fitted object from which to simulate.
mexsimdata
Matrix of simulated external regressor-in-mean data. If the fit object contains
external regressors in the mean equation, this must be provided.
vexsimdata
Matrix of simulated external regressor-in-variance data. If the fit object
contains external regressors in the variance equation, this must be provided.
solver
One of either nlminb or solnp.
solver.control
Control arguments list passed to optimizer.
fit.control
Control arguments passed to the fitting routine (as in the ugarchfit
method).
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.