[R-SIG-Finance] Quick and simple Simulation of amultivariatereturns

[Attiglah, Mama]

Thanks David, I will certainly have a thorough look at it and may probably get back to you tomorrow. 

Once again, thanks. 
Mama 
-----
Mama Attiglah, PhD
Quantitative Research Analyst
Advanced Research Center
State Street Bank
+44(0)20 7698 6290 (Direct Line)
+44 (0)207 004 2968 (Direct Fax)
Please visit our Web site at 
www.ssga.com

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Lüthi David (luda)
Sent: 18 February 2008 15:21
To: R-SIG-Finance
Subject: Re: [R-SIG-Finance] Quick and simple Simulation of amultivariatereturns

Hi Mama

You can use the package 'ghyp' to fit a multivariate generalized hyperbolic distribution (or a (symmetric) special case) to your data and sample from that distribution afterwards like

library(ghyp)
data(smi.stocks)
fit.mv <- fit.ghypmv(smi.stocks)
sim.data <- rghyp(10000, fit.mv)


Best regards
David

--
David Lüthi
idp - Institute of Data Analysis and Process Design
Zurich University of Applied Sciences
Postfach 805
CH-8401 Winterthur

E-mail: david.luethi at zhaw.ch
Phone: 058 934 78 03
http://www.idp.zhaw.ch 
--


-----Ursprüngliche Nachricht-----
Von: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] Im Auftrag von Attiglah, Mama
Gesendet: Montag, 18. Februar 2008 13:30
An: R-SIG-Finance
Betreff: [R-SIG-Finance] Quick and simple Simulation of a multivariatereturns


Hi room, 
Just want to find out if we do have any package in R that simulates a multivariate data using historical values. What about the simulation but with a long term views on some metrics, i.e. Mean, Volatility, correlation, etc... Example, I have a 2 years time series of the returns on 5 asset classes and I want to project the future returns just on a simulation basis. (It needs not preserve necessarily their time dependency distribution). Any model or any Monte Carlo methods or bootstrapping should do, including a simple block or row re-sampling with repetition. 
Please reply on the basic of a multivariate historical data. This is not a portfolio simulation but a simulation of the portfolio constituents. 
Any information is highly appreciated.
Thanks 
-----
Mama Attiglah, PhD
Quantitative Research Analyst
Advanced Research Center
State Street Bank
+44(0)20 7698 6290 (Direct Line)
+44 (0)207 004 2968 (Direct Fax)
Please visit our Web site at 
www.ssga.com


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