[R-SIG-Finance] Simulating paths in rmgarch

Josh Segal joshua.segal at gmail.com
Wed Mar 22 20:54:44 CET 2017


Hi everyone,

I'm trying to use the rmgarch package to estimate a multivariate GARCH
model and then use those parameters to simulate paths forward.  I've gotten
as far as creating a goGARCHsim object (for example), but can't figure out
how to access the simulated returns.  I've looked through all the methods
described in the documentation (page 58) but don't see anything relevant.
I believe I am able to do this in the univariate case with rugarch - is it
not possible in rmgarch?

Thanks for your help!

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