Simulating paths in rmgarch
library(rmgarch)
data("dji30ret")
spec<-gogarchspec(mean.model=list(model="AR"),ica = "radical")
fit=gogarchfit(spec,dji30ret[,1:5])
sim=gogarchsim(fit,n.sim = 1000,m.sim=1,startMethod = "sample",rseed = 10)
head(sim at msim$seriesSim[[1]])
str(sim at msim)
There are lots of examples and demos in the /inst/rmgarch.tests/ folder
of the source package.
Alexios
On 3/22/2017 2:54 PM, Josh Segal wrote:
Hi everyone, I'm trying to use the rmgarch package to estimate a multivariate GARCH model and then use those parameters to simulate paths forward. I've gotten as far as creating a goGARCHsim object (for example), but can't figure out how to access the simulated returns. I've looked through all the methods described in the documentation (page 58) but don't see anything relevant. I believe I am able to do this in the univariate case with rugarch - is it not possible in rmgarch? Thanks for your help! [[alternative HTML version deleted]]
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