rugarch (version 1.2-2)

uGARCHsim-class: class: Univariate GARCH Simulation Class

Description

Class for the univariate GARCH simulation.

Extends

Class "GARCHsim", directly. Class "rGARCH", by class "GARCHsim", distance 2.

See Also

Classes uGARCHforecast, uGARCHfit and uGARCHspec.

Examples

# Basic GARCH(1,1) Spec
data(dmbp)
spec = ugarchspec()
fit = ugarchfit(data = dmbp[,1], spec = spec)
sim = ugarchsim(fit,n.sim=1000, n.start=1, m.sim=1, startMethod="sample")
sim
head(sigma(sim))