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

[alexios ghalanos]

See help on the "custom.dist" option i.e. effectively pass a matrix of 
standardized innovations to 'distfit' and set name='sample'. See 
'rugarch.test1g' in the rugarch.tests folder for such an example.

-Alexios


On 24/05/2012 15:58, Alex Fei wrote:
> 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
>
>
>
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