[R-SIG-Finance] Simulating paths in rmgarch

[alexios galanos]

library(rmgarch)
data("dji30ret")
spec<-gogarchspec(mean.model=list(model="AR"),ica = "radical")
fit=gogarchfit(spec,dji30ret[,1:5])
sim=gogarchsim(fit,n.sim = 1000,m.sim=1,startMethod = "sample",rseed = 10)

head(sim at msim$seriesSim[[1]])
str(sim at msim)

There are lots of examples and demos in the /inst/rmgarch.tests/ folder 
of the source package.

Alexios

On 3/22/2017 2:54 PM, Josh Segal wrote:
> 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!
>
> 	[[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>