Message-ID: <88DC65E79083C1449216401AB663D2CA3EFEDF4F60@UOS-CL-EX7-L2.soton.ac.uk>
Date: 2009-03-02T14:57:07Z
From: Brajkovic J.
Subject: (no subject)
Greetings,
I am using fGarch package to estimate and simulate GARCH models. What I would like to do is to perform Monte Carlo simulation. Unfortunately I cannot figure how to modify the code to achieve this. I use the following code to run a single simulation:
spec=garchSpec(model=list(ar= 0.440270860, omega=0.000374365,alpha=0.475446583 , mu=0, beta=0))
sim<-garchSim(spec, length(dp)-1,extended=T)
Can someone suggest a modification to the code which would allow to obtain multiple simulations?
Many thanks,
Jurica Brajkovic