[R] (no subject)

Brajkovic J. Jurica.Brajkovic at soton.ac.uk
Mon Mar 2 15:57:07 CET 2009


I am using fGarch package to estimate and simulate GARCH models. What I would like to do is to perform Monte Carlo simulation. Unfortunately I cannot figure how to modify the code to achieve this. I use the following code to run a single simulation:
spec=garchSpec(model=list(ar= 0.440270860, omega=0.000374365,alpha=0.475446583 , mu=0, beta=0))
sim<-garchSim(spec, length(dp)-1,extended=T)

Can someone suggest a modification to the code which would allow to obtain multiple simulations?

Many thanks,
Jurica Brajkovic

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