tvgarchSim {tvgarch}

Simulate from a univariate TV-GARCH-X model

Description

Simulate from a univariate multiplicative TV(s)-GARCH(p,q,r)-X model.

Usage

tvgarchSim(n, order.g = 1, order.h = c(1,1,0),
           intercept.g = 1.2, size = 5, speed = 25, location = 0.5, xtv = NULL, 
           intercept.h = 0.2, arch = 0.1, garch = 0.8, asym = NULL, xreg = NULL,
           opt = 0, as.zoo = TRUE, verbose = FALSE, innovations = NULL)

Arguments

n

integer.

order.g

integer vector of length s indicating the number of locations in each transition function of the TV component.

order.h

integer vector of the form c(p,q,r). The first entry controls the GARCH order, the second the ARCH order and the third the asymmetry order of the GARCH-X component.

intercept.g

NULL or numeric with the value of the intercept in the TV component.

size

NULL or numeric vector with the values of the size coefficients.

speed

NULL or numeric vector with the values of the speed coefficients.

location

NULL or numeric vector with the values of the location coefficients.

xtv

NULL or numeric vector, time series or zoo object to include as the transition variable in the TV component. If NULL, calendar time, scaled between 0 and 1, is used as the transition variable.

opt

integer indicating whether the speed parameter in the TV component should be scaled. If 0, no scaling; if 1, speed/sd(xtv); if 2, exp(speed).

intercept.h

numeric with the value of the intercept in the GARCH-X component.

arch

NULL or numeric vector with the values of the ARCH-coefficients.

garch

NULL or numeric vector with the values of the GARCH-coefficients.

asym

NULL or numeric vector with the values of the asymmetry-coefficients.

xreg

NULL or numeric vector with the values of the X-term.

as.zoo

logical. If TRUE, then the returned result is of class zoo.

verbose

logical, if TRUE, the conditional variance and innovations are also returned.

innovations

NULL or numeric vector with the innovations. If NULL, then standard normal innovations are generated with rnorm.

Value

An object of class 'zoo' (if as.zoo = TRUE), otherwise a vector or a matrix (if verbose = TRUE), with the simulated values.

Author(s)

Susana Campos-Martins

See Also

tvgarch, garchx, zoo

Examples

set.seed(123)

## Simulate from a TV(1)-GARCH(1,1) model (default):
ySim1 <- tvgarchSim(n = 1500)

## Simulate from a TV(2)-GARCH(1,1) model:
ySim2 <- tvgarchSim(n = 1500, order.g = c(1,2), size = c(0.5,-0.4), 
                    speed = c(1.5,2), location = c(0.2, 0.5,0.8))

## Simulate from a GARCH(1,1) model:
ySim3 <- tvgarchSim(n = 1500, order.g = NULL)

## Simulate from a TV(1)-GARCH(1,1,1)-X model:
ySim4 <- tvgarchSim(n = 1500, order.h = c(1,1,1), asym = 0.025, xreg = ySim3^2)