mgarchBEKK (version 0.0.1)

simulateBEKK: Provides a procedure to simulate BEKK processes.

Description

Provides a procedure to simulate BEKK processes.

Usage

simulateBEKK(series.count, T, order = c(1, 1), params = NULL)

Arguments

series.count

The number of series to be simulated.

T

The length of series to be simulated.

order

BEKK(p, q) order

params

Initial parameters for simulation.

Value

• Simulated series and auxiliary information packaged as a simulateBEKK class instance.

Examples

## Simulate series:
simulated = simulateBEKK(2, 1000, c(1,1))