simulate {BEKKs}

R Documentation

Simulating BEKK models

Description

Method for simulating a N-dimensional BEKK model.

Usage

simulate(spec, nobs)

Arguments

spec	A spec object of class "bekkSpec" from the function bekk_spec or a fitted bekk model of class "bekkFit" from the bekk_fit function
nobs	Number of observations of the simulated sample

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, 3000)

plot(x2)

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