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

[Alex Fei]

Thank you.

I have a 30*1000 dim iid standardized time series, saved as Z, and I want to
simulate 30 paths with 1000 simulations each path. I am a bit confused with
the below two:

sim1<- ugarchsim(fit.sged, n.sim = 30, m.sim = 1000, *startMethod =
"sample"*, custom.dist = list(name = "sample", distfit = Z, type = "z")) 

sim2<- ugarchsim(fit.sged, n.sim = 30, m.sim = 1000, presigma =
fit at fit.sigma[length(Data)], prereturns = Data[length(Data)],  preresiduals
= fit at fit.residuals[length(Data)], custom.dist = list(name = "sample",
distfit = Z, type = "z")) 

In help doc, it says that if startMethod = "sample", the starting values for
the simulation will be the ending values of the actual data from the fit
object. So, does it means the starting value of sim1 and sim2 are same? What
is the meaning of name = "sample" in sim2?




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