Simulating paths in rmgarch

Alexios,

Thanks again for your help.
I'm getting some counterintuitive results with the seriesSim output. 
When I run your exact example above and then compute
cor(sim at msim$seriesSim[[1]]), I get a correlation matrix that has
non-diagonal values close to zero (ranging from -0.10 to 0.08).  
When I measure the correlation of the original data
(cor(dji30ret[,1:5])) I get values from 0.33 to 0.66.
Shouldn't the simulation demonstrate higher unconditional
correlations?  Am I misunderstanding something about the package, or
does this indicate a problem?

Thanks,
Josh

On Wed, Mar 22, 2017 at 4:06 PM, alexios galanos <alexios at 4dscape.com
<mailto:alexios at 4dscape.com>> wrote:

    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!

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