betategarch (version 2.0)

tegarch.sim: Simulate from a first order one-component Beta-skew-t-EGARCH model

Description

Simulate the y series (typically understood as a financial return or the error in a regression) from a first order one-component Beta-skew-t-EGARCH model. Optionally, the sigma, lambda, lambdadagger, u and epsilon are also returned.

Usage

tegarch.sim(n, omega = 0, phi1 = 0.95, kappa1 = 0.05, kappastar = 0, df = 10,
  skew = 1, lambda.initial = NULL, verbose = FALSE)

Arguments

n

integer, length of y (i.e. no of observations)

omega

numeric, the value of omega

phi1

numeric, the value of phi1

kappa1

numeric, the value of kappa1

kappastar

numeric, the value of kappastar

df

numeric, the value of df (degrees of freedom)

skew

numeric, the value of skew (skewness parameter

lambda.initial

NULL (default) or initial value(s) of the recursion for lambda or log-volatility. If NULL then the values are chosen automatically.

verbose

logical, TRUE or FALSE (default). If TRUE then a matrix with n rows containing y, sigma, lambda, lambdadagger, u and epsilon is returned. If FALSE then only y is returned.

Value

• A numeric vector of length n or a matrix with n rows, depending on the value of verbose.

Details

Empty

References

Harvey and Sucarrat (2012), 'EGARCH models with fat tails, skewness and leverage', Cambridge Working Papers in Economics 1236, Faculty of Economics, University of Cambridge

See Also

tegarch.est

Examples

##simulate series with 500 observations:
set.seed(123)
y <- tegarch.sim(500, omega=0.01, phi1=0.9, kappa1=0.1, kappastar=0.05, df=10, skew=0.8)

##simulate the same series, but with more output (volatility, log-volatility or
##lambda, lambdadagger, u and epsilon)
set.seed(123)
y <- tegarch.sim(500, omega=0.01, phi1=0.9, kappa1=0.1, kappastar=0.05, df=10, skew=0.8,
  verbose=TRUE)