simulate {BEKKs}

Simulating BEKK models

Description

Method for simulating a N-dimensional BEKK model.

Usage

## S3 method for class 'bekk'
simulate(object, nsim, ...)

## S3 method for class 'bekka'
simulate(object, ..., nsim)

## S3 method for class 'dbekk'
simulate(object, ..., nsim)

## S3 method for class 'dbekka'
simulate(object, ..., nsim)

## S3 method for class 'sbekk'
simulate(object, ..., nsim)

## S3 method for class 'sbekka'
simulate(object, ..., nsim)

Arguments

object

A spec object of class "bekkSpec" from the function bekk_spec or a fitted bekk model of class "bekkFit" from the bekk_fit function

nsim

Number of observations of the simulated sample

...

Further parameters to be passed on to the function.

Value

Returns a simulated time series S3 class object using the parameters of passed "bekkSpec" or "bekkFit".

Examples

# simulate a BEKK with estimated parameter
obj_spec <- bekk_spec()
x1 <- bekk_fit(obj_spec, StocksBonds)

x2 <- simulate(x1, nsim = 3000)

plot(x2)