[R-SIG-Finance] Simulating paths in rmgarch
alexios galanos
alexios at 4dscape.com
Fri Mar 24 20:43:10 CET 2017
Try using model="VAR" instead of "AR"....will check to see if something
is amiss otherwise.
A.
On 24/03/2017 13:42, Josh Segal wrote:
> Alexios,
>
> Thanks again for your help.
> I'm getting some counterintuitive results with the seriesSim output.
> When I run your exact example above and then compute
> cor(sim at msim$seriesSim[[1]]), I get a correlation matrix that has
> non-diagonal values close to zero (ranging from -0.10 to 0.08).
> When I measure the correlation of the original data
> (cor(dji30ret[,1:5])) I get values from 0.33 to 0.66.
> Shouldn't the simulation demonstrate higher unconditional
> correlations? Am I misunderstanding something about the package, or
> does this indicate a problem?
>
> Thanks,
> Josh
>
> On Wed, Mar 22, 2017 at 4:06 PM, alexios galanos <alexios at 4dscape.com
> <mailto:alexios at 4dscape.com>> wrote:
>
> library(rmgarch)
> data("dji30ret")
> spec<-gogarchspec(mean.model=list(model="AR"),ica = "radical")
> fit=gogarchfit(spec,dji30ret[,1:5])
> sim=gogarchsim(fit,n.sim = 1000,m.sim=1,startMethod =
> "sample",rseed = 10)
>
> head(sim at msim$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]]
>
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