[R-SIG-Finance] rugarchsim / garchsim with a user-defined time series matrix of standardized i.i.d. disturbances

[Alex Fei]

Hi (Alexios)

Is it possible to simulate garch paths with a user-defined time series
matrix of standardized i.i.d. disturbances, like the 
http://www.mathworks.co.uk/help/toolbox/econ/garchsim.html option input
'State' of garchsim  in Matlab? 

In Matlab, I can run

[forecastInnovations, forecastSigmas, forecastSeries] = garchsim(Spec,
NumSamples, NumPaths, *State*, [], [], PreInnovations, PreSigmas, PreSeries)

I expect to do the same task in R but it seems rugarchsim does not have the
option input: 

ugarchsim(fit, n.sim = 1000, n.start = 0, m.sim = 1,startMethod =
c("unconditional", "sample"), presigma = NA, prereturns = NA, preresiduals =
NA, rseed = NA, custom.dist = list(name = NA, distfit = NA), mexsimdata =
NULL, vexsimdata = NULL)

any help please. Thank you

 

--
View this message in context: http://r.789695.n4.nabble.com/rugarchsim-garchsim-with-a-user-defined-time-series-matrix-of-standardized-i-i-d-disturbances-tp4631206.html
Sent from the Rmetrics mailing list archive at Nabble.com.