| sim_garch1c1 {cvar} | R Documentation |
Simulate GARCH(1,1) time series
Description
Simulate GARCH(1,1) time series.
Usage
sim_garch1c1(model, n, n.start = 0, seed = NULL)
Arguments
model |
a GARCH(1,1) model, an object obtained from |
n |
the length of the generated time series. |
n.start |
number of warm-up values, which are then dropped. |
seed |
an integer to use for setting the random number generator. |
Details
The simulated time series is in component eps of the returned value.
For exploration of algorithms and eestimation procedures, the volatilities
and the standardised innovations are also returned.
The random seed at the start of the simulations is saved in the returned
object. A speficific seed can be requested with argument seed. In
that case the simulations are done with the specified seed and the old state
of the random number generator is restored before the function returns.
Value
a list with components:
eps |
the time series, |
h |
the (squared) volatilities, |
eta |
the standardised innovations, |
model |
the GARCH(1,1) model, |
.sim |
a list containing the parameters of the simulation, |
call |
the call. |
Note
This function is under development and may be changed.