A streamlined simulation function to simulate from models
that are part of the broader EGARCH family specifiable
through fEGarch_spec.
fEGarch_sim(
spec = egarch_spec(),
pars = list(mu = 0, ar = numeric(0), ma = numeric(0), D = 0, omega_sig = -9, phi = 0.8,
psi = numeric(0), kappa = -0.2, gamma = 0.3, d = 0, df = 10, shape = 2, P = 3, skew =
1),
n = 1000,
nstart = 5000,
trunc = "none"
)A list with four elements is returned: rt are the simulated
observations, etat are the underlying innovations,
sigt are the correspondingly simulated conditional
standard deviations, and cmeans are the simulated
conditional means. These four elements are formatted as
"ts" class time series objects.
an object of class "egarch_type_spec" or
"loggarch_type_spec" returned by fEGarch_spec
or related wrapper functions; note that the model orders in the
conditional mean and in the
conditional variance as well as the long-memory settings are not
controlled through the element
orders and long_memo of spec but
solely through the parameter settings in pars.
a named list with the parameter specifications; the user can provide a named list with only the settings they would like to adjust relative to the default settings.
the number of observations to return.
the number of burn-in observations to simulate before
the final n values to keep; the first nstart values
are not returned; if a dual model, i.e. with model in the conditional
mean and in the conditional variance, is considered, two times nstart
is considered in the first simulation step in the conditional variance,
so that n + nstart values can be fed into the second simulation
step for the conditional mean.
a truncation for the finite-order coefficient series
in long-memory models; can either be the character "none" for truncation
back to the very first observation at each time point, or to any positive integer
for setting the corresponding truncation length of the infinite-order representation
polynomial.
See the documentation on fEGarch_spec for information
on the models of the broader EGARCH family. This function provides
an easy way to simulate from these models.
spec <- megarch_spec()
sim <- fEGarch_sim(spec = spec)
mat <- do.call(cbind, sim)
plot(mat, main = "")
Run the code above in your browser using DataLab